SANTANDER SICAV Audited annual report and Financial ...

SANTANDER SICAV Société d’Investissement à Capital Variable

Audited annual report and Financial Statements for the year ended December 31, 2021

RCS Luxembourg B 45 337 No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus and the Key Investor Information Document (“KIID”), supplemented by the latest available annual report of the Fund and the latest semi-annual report if published thereafter. SANTANDER SICAV


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Table of contents Page(s)

Management and administration................................................................................................................................... 4

Information to the Shareholders ................................................................................................................................... 8

Investment Managers' report ........................................................................................................................................ 9

Audit report ................................................................................................................................................................ 14

Combined statement of net assets as at December 31, 2021 ...................................................................................... 17

Statement of net assets as at December 31, 2021 ....................................................................................................... 18

Combined statement of operations and changes in net assets for the year ended December 31, 2021 ..................................................................................................................................................... 34

Statement of operations and changes in net assets for the year ended December 31, 2021 ..................................................................................................................................................... 36

Statistical information ................................................................................................................................................. 56

SANTANDER GO SHORT DURATION DOLLAR ............................................................................................ 84

SANTANDER LATIN AMERICAN CORPORATE BOND ............................................................................... 97

SANTANDER GO NORTH AMERICAN EQUITY .......................................................................................... 102

SANTANDER EUROPEAN DIVIDEND ............................................................................................................. 105

SANTANDER AM LATIN AMERICAN FIXED INCOME ............................................................................. 109

SANTANDER AM EURO CORPORATE BOND .............................................................................................. 112

SANTANDER AM EURO EQUITY .................................................................................................................... 124

SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES .......................................................... 127

SANTANDER ACTIVE PORTFOLIO 1 ............................................................................................................. 130

SANTANDER ACTIVE PORTFOLIO 2 ............................................................................................................. 133

SANTANDER CORPORATE COUPON............................................................................................................. 136

SANTANDER SELECT DEFENSIVE ................................................................................................................. 144

SANTANDER SELECT MODERATE ................................................................................................................ 148

SANTANDER SELECT DYNAMIC .................................................................................................................... 152

SANTANDER MULTI INDEX SUBSTANCE .................................................................................................... 155

SANTANDER MULTI INDEX BALANCE ........................................................................................................ 157

SANTANDER MULTI INDEX AMBITION ....................................................................................................... 159

SANTANDER SELECT INCOME ....................................................................................................................... 161

SANTANDER GO ABSOLUTE RETURN.......................................................................................................... 165

SANTANDER GO GLOBAL EQUITY ESG ...................................................................................................... 186

SANTANDER COVERED BOND ........................................................................................................................ 189


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Table of contents (continued) Page(s)

SANTANDER GO DYNAMIC BOND ................................................................................................................. 195

SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND .................................................... 212

SANTANDER FUTURE WEALTH ..................................................................................................................... 216

Notes to the financial statements as at December 31, 2021...................................................................................... 218

Appendix: Unaudited Additional Disclosures .......................................................................................................... 270


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Management and administration Management and administration (continued)

Registered Office 6, route de Trèves L-2633 Senningerberg Luxembourg

Chairman of the Board of Directors of the SICAV

Mr Carlo MONTAGNA Independent Director 21st Century Building Luxembourg

Directors Mr Luis CAVERO Independent Director Luxembourg Mr Carlos DIAZ NÚÑEZ Global Head Retail Products & Customer Solutions Santander Asset Management Spain Mr Stefan JOCHUM Chief Executive Officer Santander Asset Management S.A., S.G.I.I.C., (German Branch) Germany

Depositary and Paying Agent, Administrative, Registrar, Corporate and Domiciliary Agent

J.P. MORGAN BANK LUXEMBOURG S.A. 6, route de Trèves L-2633 Senningerberg Luxembourg

Management Company (amended Law of December 17, 2010, Chap.15)

SANTANDER ASSET MANAGEMENT LUXEMBOURG S.A. 19, rue de Bitbourg L-1273 Luxembourg Luxembourg

Investment Managers

SANTANDER ASSET MANAGEMENT S.A., S.G.I.I.C 69, Calle Serrano E-28006 Madrid Spain For the following Sub-Funds: « SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES », « SANTANDER AM LATIN AMERICAN FIXED INCOME », « SANTANDER AM EURO CORPORATE BOND », « SANTANDER EUROPEAN DIVIDEND », « SANTANDER AM EURO EQUITY », « SANTANDER ACTIVE PORTFOLIO 1 », « SANTANDER ACTIVE PORTFOLIO 2 », « SANTANDER CORPORATE COUPON »,


Management and administration (continued)

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Investment Managers (continued)

« SANTANDER SELECT INCOME », « SANTANDER COVERED BOND », « SANTANDER FUTURE WEALTH », « SANTANDER SELECT DEFENSIVE (since September 21, 2021) », « SANTANDER SELECT MODERATE (since September 21, 2021) », « SANTANDER SELECT DYNAMIC (since September 21, 2021) ». SANTANDER BRASIL GESTÃO DE RECURSOS LTDA. Av. Pres. Juscelino Kubitschek, 2235 - 18° Andar Capital do Estado de Sao Paulo São Paulo Brazil For the following Sub-Funds: « SANTANDER AM BRAZILIAN EQUITY », « SANTANDER BRAZILIAN SHORT DURATION ». SANTANDER ASSET MANAGEMENT UK LIMITED 287, St. Vincent Street G2 5NB Glasgow, Scotland United Kingdom For the following Sub-Funds: « SANTANDER LATIN AMERICAN CORPORATE BOND », « SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES » « SANTANDER SELECT DEFENSIVE (until September 20, 2021) », « SANTANDER SELECT MODERATE (until September 20, 2021) », « SANTANDER SELECT DYNAMIC (until September 20, 2021) », « SANTANDER MULTI INDEX BALANCE », « SANTANDER MULTI INDEX SUBSTANCE », « SANTANDER MULTI INDEX AMBITION », « SANTANDER SELECT TOTAL RETURN », « SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND ».



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AMUNDI SGR S.p.A. Via Cernaia 8/10 20121 Milan Italy For the Sub-Fund « SANTANDER GO ABSOLUTE RETURN ». ROBECO INSTITUTIONAL ASSET MANAGEMENT B.V. Weena 850 3014 DA Rotterdam Netherlands (Since May 28, 2021) BOSTON PARTNERS GLOBAL INVESTORS INC 909 Third Avenue 32nd Floor New York New York 10022 United States of America (Until May 27, 2021) For the Sub-Fund « SANTANDER GO GLOBAL EQUITY ESG ». JPMORGAN ASSET MANAGEMENT (UK) LIMITED 25 Bank Street, Canary Wharf London E14 5JP United Kingdom For the Sub-Fund « SANTANDER GO SHORT DURATION DOLLAR ». MORGAN STANLEY INVESTMENT MANAGEMENT LIMITED 25, Cabot Square Canary Wharf E14 4QA London United Kingdom For the Sub-Fund « SANTANDER GO NORTH AMERICAN EQUITY ».



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PIMCO EUROPE GmbH Seidlstrasse 24-24a Munich 80335 Germany For the Sub-Fund « SANTANDER GO DYNAMIC BOND ».

Main Nominees ALLFUNDS BANK S.A. 7, Calle de los Padres Dominicos E-28050 Madrid Spain ALLFUNDS BANK INTERNATIONAL S.A. 30, Boulevard Royal L-2449 Luxembourg Luxembourg

Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P. 1443 L-1014 Luxembourg Luxembourg

Legal Adviser ELVINGER HOSS PRUSSEN, Société anonyme 2, place Winston Churchill L-1340 Luxembourg Luxembourg


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Information to the Shareholders Information to the Shareholders (continued)

The Annual General Meeting of Shareholders of SANTANDER SICAV (the "SICAV") is held at the registered office of the SICAV or at such other place in Luxembourg the last calendar day of the month of April in each year at 3.00 p.m. or if any such day is not a bank business day in Luxembourg, on the next following bank business day in Luxembourg. Notices of all general meetings are sent to each registered Shareholders by post at least eight days prior to the meeting at their addresses in the register of Shareholders. Such notices will include the agenda and specify the time and place of the meeting and the conditions of admission and will refer to the requirements of Luxembourg law with regard to the necessary quorum and majorities required for the meeting. Annual reports including audited financial statements are published within four months after the financial year-end and unaudited semi-annual reports are published within two months after the end of the relevant year. Such reports are made available at the registered office of the SICAV during normal business hours. The financial year-end of the SICAV is December 31 of each year. Information regarding the net asset value (the "NAV"), the offer and redemption prices is available at the registered office of the SICAV. Under current legislation and practice, registered Shareholders are not subject to any capital gains, income, withholding, gift, inheritance or other taxes in Luxembourg (except for Shareholders domiciled, resident or having a permanent establishment in Luxembourg). Investors should consult their professional advisers on the possible tax or other consequences of buying, holding, converting, transferring or selling any of the shares under the laws of their countries of citizenship, residence or domicile.


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Investment Managers' report Investment Managers' report (continued) The figures stated in this report are historical and not necessarily indicative of future performance.

The year 2021 continued to be marked by the evolution of the Covid-19 pandemic. In the first months of the year, the different countries began vaccination campaigns, which allowed them to continue to eliminate part of the restrictions on activity and mobility, although some of them have remained in force at the end of the year. In this sense, the progressive normalization of international economic activity has been accompanied throughout the year by bottlenecks in some supply chains and raw material markets, which has led to a sharp increase in prices in the main economies. In the financial markets, the successive waves of contagion caused by the Delta variant as well as the appearance of the Omicron variant at the end of November have caused episodes of volatility that have translated into days of strong sales in the stock markets and purchases in the markets of government bonds as safe-haven assets. Likewise, another source of volatility in the financial markets has been the messages and actions of the different Central Banks towards the normalization of the extraordinary monetary policy measures that they applied as a result of the pandemic. However, in the case of the European and North American stock markets, the behavior throughout the year has clearly been one of profit, with annual increases such as the +26.89 of the S&P500 that ended the year in the area of historical maximums, the +20, 99% of the EuroStoxx50 and 28.85% of the French CAC while the IBEX35 registered a rise of +7.93%. In the case of 10-year German and American government bonds, their IRRs moved in a very wide range throughout the year and finally recorded a rise of +39bp in the period. and +60p.b. respectively. The IRR of the 10-year Spanish bond stood at +0.56% at the end of 2021 from +0.04% at the end of 2020. In the case of the shorter sections of the Euro Zone interest rate curves, the Marked negative returns continued to be the pattern throughout the year. Regarding the international economic reactivation, although it continued to gain momentum throughout the year, the rate of recovery was uneven by geographical area. The US stood out for the strong growth registered during the first half of the year, largely the result of the important fiscal packages and direct aid implemented as a result of the crisis. During the third quarter its growth moderated to 2.3% annualized. The upward trend in prices intensified during the year and the December CPI stood at 7%, the highest level since 1982. In the case of the Euro Zone, the restrictions in force during the first quarter caused a decline of GDP of -0.2% quarterly, giving way to quarterly growth of +2.2% in both the second and third quarters of the year. Regarding prices, the trend was also upwards and the CPI for December rose to 5%, the highest rate since the historical series began in 1997. For the 2022 financial year, the economic context continues to be affected by the evolution of the Covid-19 pandemic, with investors paying attention to the impact that the new Omicron variable may have. For the time being, although much more selective than at the start of the pandemic, restrictions still remain that affect economic activities, especially in the service sector. Another of the key factors of the year 2022, according to the announcements made by the different Central Banks, will be the progressive normalization of the extraordinary monetary policy measures adopted as a result of the pandemic. Thus, in a scenario of non-remuneration of savings in the Euro Zone, diversification between financial assets, according to the risk profile, is the best tool not only to reduce volatility but also to access all potential sources of return, maintaining always the time horizon.

Amundi - Managers Report for the Year 2021 Santander GO Absolute Return

If you had predicted at the start of 2021 that we would end 2021 with US inflation close to 7%, and 10yr US bond yields rising from 0.9% to 1.5%, we would probably not have predicted that global equities would have risen by more than 20%. We did, however, predict that inflation would remain higher for longer than markets were anticipating, and that there would be regular bouts of market volatility throughout the year. Those predictions proved correct, with the fund experiencing a strong start to the year, appreciating nearly 3% by early February before correcting sharply as the market rotated violently from a Growth bias towards the Value style in late February and March. Starting in Q2, the fund experienced a slow, steady recovery throughout Q2, Q3 and into Q4, again reaching a performance of over +2.5% by the start of November. Signs that global central banks were adopting a more hawkish stance, coupled with the emergence of the Omicron strain of Covid in November, caused another correction in the fund’s performance, before a late rally in equity markets saw a partial recovery in performance into year-end.


Investment Managers' report (continued)

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Looking in more detail at the drivers of performance, our Macro Strategy pillar (or market-directional positions) were the major drivers of overall performance for the year. The two best-performing positions were our long Global Inflation idea and our long Commodities position. The rise of inflation and its persistence meant that our inflation-protected positions in the US, Europe, UK and Japan performed strongly throughout the year. In addition, our long Commodities position was mostly influenced by the strong rise in the oil price. With equity markets having rallied so strongly in 2021, our long US Equity, long European Equity, long Europe ex EMU and long EM Equity positions also contributed strongly to overall performance, whilst our long US Dollar position did well as the US Dollar rallied nearly 7% against the Euro. Finally, our long Global Investment Grade position and long Global High Yield position performed nicely, as we benefitted from the extra yield enhancement on these asset classes. On the downside, our long US Treasuries and long European bond positions detracted from performance, because of the aforementioned rise in bond yields. We did significantly reduce our duration exposure over the course of the year, so protecting the fund from even greater losses as yields pushed higher. Our hedges were a significant drag on overall performance during 2021. As might be expected when equity markets rally strongly during the year, our equity hedges were the biggest underperformer and were responsible for the majority of losses in this area. As a reminder, to protect the portfolio against an equity market correction (which would hurt overall fund performance given our long equity exposure), we have put options on various equity markets. Given that global equity markets performed during the year, these put options moved further out of the money and became less valuable, generating some losses. The main underperformers were our hedges on European, US and UK equity indices. Our credit hedges (particularly on the European High Yield side) also dragged down performance as credit spreads did not widen during the year. It should also be noted that during 2021, fixed income did not fulfil its normal role of acting as a quasi-hedge against equity market movements, as the two asset classes became increasingly correlated. Therefore, we had to spend more money protecting the portfolio, which had an impact on the performance of the hedging pillar. Our long Commodity positions also did well, mainly influenced by the strong rise in the oil price. In our Spread sub-pillar, we were generally long corporate bonds across a number of different sectors and this added to overall fund performance, particularly our long positions in Cyclicals names, Hybrid Financial issuers, Defensive and Senior Financial names, as well as some long High Yield positions. Even though bond yields rose throughout 2021, our Interest Rates sub-pillar was another strong performer, with some positions on the German Bund curve working well (we generally had a short duration bias as well as a steepening bias), as did some EM and Euro curve trades. Our Quant sub-pillar made a small positive contribution to overall performance, with most of the gains coming from our Equity model and our Cross-Asset model. Both of these models give relatively high-frequency signals on whether to be long or short various markets, both outright and against other asset classes. Our FX relative value positions had no impact on performance but our Equity relative value ideas struggled in 2021. The biggest underperforming position was our US Opportunities position, where we were long a basket of our favourite stocks against a short position in the S&P500. A couple of our favourite stocks lost ground (particularly in November) whilst the S&P500 rallied strongly. Likewise, a major sell-off in the Renewables space hurt our ESG Leaders position and caused us to close our Decarbonisation and Hydrogen positions.

Morgan Stanley - Managers Report for the Year 2021 Santander GO North American Equity

U.S. large cap equities, as measured by the S&P 500 Index, advanced strongly over the period. Energy posted the greatest return in the S&P 500 Index. All sectors advanced over the period, however, Utilities was the relative laggard. Against this backdrop, the investment manager continued to focus on stock selection and the long-term outlook for companies owned in the portfolio.



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Greater market volatility and a widespread sell off in high growth and high multiple equities were significant headwinds to portfolio performance throughout 2021. We believe the selloff was driven by a broad rotation out of such names and not due to company-specific fundamentals, which, across most of the portfolio, remained largely robust. The portfolio’s lack of exposure to some of the largest benchmark holdings also weighed on relative performance. Overall, we tried to take advantage of the volatility and opportunistically added to some positions and initiated new positions, in holdings where we believe the fundamentals have remained intact and the valuation has become more attractive. Information Technology was by the top detractor in the portfolio, due to mixed stock selection. Zoom Video Communications, which offers a proprietary cloud-based communications platform that connects users through frictionless video, voice, chat, and content sharing, was the greatest detractor across the portfolio. Following strong performance over the prior period, its shares languished on mixed results, characterized by solid revenue growth and continued traction with its Zoom Phone offering, but lower than expected growth in billings and growth with smaller customers. Block, which provides payment, point of sale, capital, and business management solutions to facilitate commerce between businesses and consumers, was the fourth greatest detractor across the portfolio. We attribute the weakness to heightened volatility across the payments space as well as a deceleration in the company’s gross profit growth following a period of outperformance earlier in the pandemic. Within the sector, the weakness in these and other holdings was partly offset by strength in Datadog and Snowflake, which were among the top contributors across the portfolio Communication Services, Consumer Discretionary, and Health Care were also significant detractors, largely due to unfavorable stock selection in each sector. Several the portfolio’s internet media holdings were also among the top detractors in Communication Services and across the portfolio, in part due to IDFA (Identifiers for Advertisers) changes recently implemented by Apple, which are broadly limiting advertisers’ ability to precisely target and track users within applications on Apple devices. In Health Care, the portfolio’s positioning in Health Care Providers & Services detracted most from relative performance. Stock selection in and sector allocations to Energy, Financials, and Industrials also weighed on relative performance, as did stock selection in Materials and a lack of exposure to Real Estate. Conversely, an average sector underweight in Consumer Staples was a small contributor to the portfolio’s relative performance over the period. Lastly, Utilities - a sector the portfolio has no exposure to – had an overall negligible impact on relative performance. We look to own a portfolio of unique companies with diverse business drivers, strong competitive advantages and positioning, and healthy secular growth prospects whose market value we believe can increase significantly over the long-term for underlying fundamental reasons, independent of the macro or market environment. We find these companies through fundamental research. Our emphasis is on secular growth, and as a result short-term market events are not as meaningful in the stock selection process. We focus on assessing company prospects over a five year investment horizon. Current portfolio positioning reflects what we believe are the best long-term investment opportunities.

PIMCO - Managers Report for the Year 2021 Santander GO Dynamic Bond

From the rapid and deep recession triggered by the pandemic to its subsequent recovery throughout the second half of 2020, the economic cycle continued to trend upwards at an accelerated pace throughout 2021. At the beginning of the year, the markets experienced a reopening boom characterized by strong economic growth, high inflation, rising commodity prices and good returns on risky assets. Equities posted strong returns as GDP and company earnings growth materialized above market expectations, while fixed income markets posted negative returns.



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At the end of February, strong economic growth and inflation caused investors to turn to more traditional cyclical sectors that were most significantly damaged in the aftermath of the pandemic. Sectors such as airlines, leisure, energy and banks significantly outperformed the market in an aggressive but short-lived correction. Starting mid-May, inflationary pressures pushed the Federal Reserve to become more aggressive and announced a change in monetary policy. The second half of the year was characterized by a tug-of-war between strong growth and monetary policy tightening. By the end of the year, markets were discounting four rate hikes in 2022, a clear reversal of optimism from the zero hikes expected at the beginning of the year. All in all, and unlike in recent years when most asset classes moved together in one direction, we saw some clear winners and losers in terms of performance for 2021. Oil and developed market equities saw highly positive returns for example, while sovereign bonds and EM tended to post negative returns for the year. It is important to note that while vast majority of fixed income sectors posted negative total returns in 2021 (with the exception of high yield and select segments of securitized credit), the Fund has been able to generate positive returns.

Robeco - Managers Report for the Year 2021 Santander GO Global Equity ESG

Markets were off to a good start in 2021 as the positive market sentiment, that had been present since the second quarter of 2020 continued. It would turn out to be the best year in EUR terms since 1999 with a total return of 31.1% for the MSCI World. The USD return was more muted but still strong at 21.8%. 2021 Started out with positive news around vaccines and additional stimulus measures from governments around the world. Monetary policy remained very loose and supported the positive backdrop. Earnings revisions improved further and the year started out with a Value revival. As the year progressed supply side concerns, worries around inflationary pressures and concerns over economic weakness in China as a result of the Evergrande fall-out caused markets to pull back over brief periods, but they bounced back quickly every time. September made an end to a long streak of monthly gains for the market as a whole but in October markets immediately rebounded. November and December showed a similar pattern. Inflation expectations started to rise and the FED’s guidance turned increasingly hawkish. The US 10 year yield rose towards year end on anticipation of rising inflation and a tighter monetary environment. Despite this, markets ended the year on a positive note in December rising 6.6% in EUR terms (3.2% in USD) for the month. The rollout of vaccines supported prospects for re-opening which pushed up demand in an realm of supply chain disruption. This helped to push up oil prices significantly. The winning sector in 2021 was Energy, up 50.8% in EUR terms. At the same time this was the weakest sector for the fund in terms of selection. One of the components of our sustainability framework is that we strive for a significantly better greenhouse gas emission profile than the benchmark. That leaves us relatively little room to invest in traditional energy, the winning market segment in 2021. Putting all contributors and detractor attributions together, with 30.3% (gross, EUR) we ended the year slightly below the market return (31.1%, EUR).



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The portfolio’s ESG risk rating is consistently and significantly better than that of the index. End of year, our Sustainalytics ESG Risk rating was 18.2, versus 21.2 for the index which is significantly better (for this rating lower is better as it signals lower ESG risk). The portfolio’s GHG emission footprint was 56% better than the index and the water and waste generation profiles are better in the same order of magnitude. We actively engaged with 28 of our 43 holdings in 2021.

Luxembourg, March 31, 2022

The figures stated in this report are historical and not necessarily indicative of future performance.

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 LuxembourgT : +352 494848 1, F : +352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256)R.C.S. Luxembourg B 65 477 - TVA LU25482518

Audit report

To the Shareholders ofSANTANDER SICAV

Our opinion

In our opinion, the accompanying financial statements give a true and fair view of the financial position of SANTANDER SICAV (the “Fund”) and of each of its sub-funds as at 31 December 2021, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.

What we have audited

The Fund’s financial statements comprise:

the combined statement of net assets for the Fund and the statement of net assets for each of the sub-funds as at 31 December 2021;

the combined statement of operations and changes in net assets for the Fund and the statement of operations and changes in net assets for each of the sub-funds for the year then ended;

the statement of investments as at 31 December 2021; and the notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion

We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier” (CSSF). Our responsibilities under the Law of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

We are independent of the Fund in accordance with the International Code of Ethics for Professional Accountants, including International Independence Standards, issued by the International Ethics Standards Board for Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements.

Other information

The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

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In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund for the financial statements

The Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund’s and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or close any of its sub-funds or to cease operations, or has no realistic alternative but to do so.

Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;

obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control;

evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund;

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conclude on the appropriateness of the Board of Directors of the Fund’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s or any of its sub-funds' ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund or any of its sub-funds to cease to continue as a going concern;

evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

PricewaterhouseCoopers, Société coopérativeRepresented by@esig

@esigFanny Sergent

Luxembourg, 31 March 2022


The accompanying notes form an integral part of these financial statements.

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Combined statement of net assets as at December 31, 2021 Combined statement of net assets as at December 31, 2021 (continued) The accompanying notes form an integral part of these financial statements.

Notes EUR

ASSETS Investments in securities at market value 3.1 6,578,824,232.77 Credit default swap contracts at market value 3.8, 14 4,685,189.86 Options bought at market value 3.6, 13 12,820,820.48 Total return swaps at market value 3.13, 16 32,603.92 Cash at bank 3.1 362,456,865.36 Cash at broker 3.1 58,535,238.05 Amounts receivable for securities sold 18,944,551.54 Amounts receivable from subscriptions 7,171,699.05 Interest and dividends receivable, net 3.10 15,015,664.80 Prepaid expenses 3.11 114,781.31 Receivable on reverse repurchase agreements 3.12, 17 36,932,817.60 Unrealised gain on forward foreign exchange contracts 3.4, 11 7,229,989.67 Unrealised gain on futures contracts 3.5, 12 8,805,602.85 Unrealised gain on interest rate swap contracts 3.7, 15 9,006,471.80 Other receivable 2,645,555.81 Total Assets 7,123,222,084.87

LIABILITIES Credit default swap contracts at market value 3.8, 14 2,094,994.38 Options written at market value 3.6, 13 5,304,378.58 Total return swaps at market value 3.13, 16 1,228,558.66 Bank overdraft 3.1 213,292.35 Overdraft at broker 3.1 390,018.54 Amounts payable on securities purchased 48,746,523.88 Amounts payable on redemptions 7,456,877.60 Taxes and expenses payable 6 7,624,600.03 Unrealised loss on forward foreign exchange contracts 3.4, 11 4,038,446.76 Unrealised loss on futures contracts 3.5, 12 4,797,582.57 Unrealised loss on interest rate swap contracts 3.7, 15 6,269,335.79 Other payable 86,744.59 Total Liabilities 88,251,353.73 Net Asset Value 7,034,970,731.14



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Statement of net assets as at December 31, 2021

Statement of net assets as at December 31, 2021 (continued) The accompanying notes form an integral part of these financial statements.

Notes

SANTANDER GO SHORT

DURATION DOLLAR

USD

SANTANDER LATIN

AMERICAN CORPORATE

BOND

USD

SANTANDER GO NORTH

AMERICAN EQUITY

USD

ASSETS Investments in securities at market value 3.1 Credit default swap contracts at market value 3.8, 14 Options bought at market value 3.6, 13 Total return swaps at market value 3.13, 16 Cash at bank 3.1 Cash at broker 3.1 Amounts receivable for securities sold Amounts receivable from subscriptions Interest and dividends receivable, net 3.10 Prepaid expenses 3.11 Receivable on reverse repurchase agreements 3.12, 17 Unrealised gain on forward foreign exchange contracts 3.4, 11 Unrealised gain on futures contracts 3.5, 12 Unrealised gain on interest rate swap contracts 3.7, 15 Other receivable Total Assets LIABILITIES Credit default swap contracts at market value 3.8, 14 Options written at market value 3.6, 13 Total return swaps at market value 3.13, 16 Bank overdraft 3.1 Overdraft at broker 3.1 Amounts payable on securities purchased Amounts payable on redemptions Taxes and expenses payable 6 Unrealised loss on forward foreign exchange contracts 3.4, 11 Unrealised loss on futures contracts 3.5, 12 Unrealised loss on interest rate swap contracts 3.7, 15 Other payable Total Liabilities Net Asset Value

932,684,405.63

- - -

33,211,518.02 - -

514,561.05 3,727,117.61

5,253.02 - - - - -

970,142,855.33

- - - - - -

319,364.24 572,754.72

- - -

315.55

892,434.51

969,250,420.82

343,457,389.49

- - -

14,794,303.61 99,727.36

- 3,434.81

5,367,283.62 4,568.69

- 134,431.12

- -

9,968.32

363,871,107.02

- - - - - -

718,536.79 530,725.02

781.85 - - -

1,250,043.66

362,621,063.36

1,828,398,243.12

- 2,232,433.55

- 78,367,488.95

- 672,874.50

2,006,528.00 -

18,582.94 -

1,914,834.94 - -

842.08

1,913,611,828.08

- - - -

0.28 -

591,137.40 1,405,835.02

308,131.07 - -

5,036.04

2,310,139.81

1,911,301,688.27


Statement of net assets as at December 31, 2021 (continued)


19

Number of shares outstanding

Net Asset Value per share

SANTANDER GO SHORT DURATION DOLLAR - USD

Class A 234,875.22 USD 151.01

Class B 5,173,122.24 USD 166.21

Class BE 635,188.90 EUR 96.81

Class I 37,957.56 USD 102.29

Class S* 4,000.00 USD 99.87 SANTANDER LATIN AMERICAN CORPORATE BOND - USD

Class A 233,394.66 USD 216.48

Class AD 646,477.67 USD 85.84

Class AE 5,043.54 EUR 109.70

Class AEH 114.41 EUR 104.98

Class I 104,657.54 USD 2,114.13

Class ID 275,245.68 USD 97.08

Class RKP 90,925.75 GBP 1.11

Class V 69,223.54 USD 113.25 SANTANDER GO NORTH AMERICAN EQUITY - USD

Class A 1,112,053.37 USD 33.71

Class B 7,176,728.27 USD 38.46

Class BEH 518,566.42 EUR 155.83

Class C 1,333,974.48 USD 17.26

Class I 12,488,208.53 USD 17.67

Class M 2,019,039.22 USD 173.56

Class ME 3,835,592.46 EUR 191.73

Class RKP* 64.09 GBP 98.54

Class SE 3,903.54 EUR 162.28

Class V 486,172.99 USD 153.85 * See note 1.




20

Notes

SANTANDER EUROPEAN

DIVIDEND

EUR

SANTANDER AM LATIN

AMERICAN FIXED INCOME

USD

SANTANDER AM EURO

CORPORATE BOND

EUR


86,104,282.41

- - -

5,508,215.91 1,691,061.71

- -

206,305.00 1,212.33

- -

57,185.32 -

681,261.10

94,249,523.78

- - - - - -

192,096.49 286,979.27

152.11 73,865.75

- 7.12

553,100.74

93,696,423.04

32,746,478.90

- - -

1,812,894.40 41,982.00

- -

373,276.86 1,112.92

- - - - -

34,975,745.08

- - - - - - -

67,815.20 - - - -

67,815.20

34,907,929.88

48,723,511.05

- - -

1,363,346.32 129,961.91

- -

341,743.89 881.62

- -

6,038.40 - -

50,565,483.19

- - - - - -

8,650.54 126,653.42

- - - -

135,303.96

50,430,179.23




21



SANTANDER EUROPEAN DIVIDEND - EUR

Class A 291,751.60 EUR 6.02

Class AD 760,351.87 EUR 108.38

Class AU 37,469.67 USD 152.76

Class B 651,914.51 EUR 6.82

Class BUH 338.85 USD 127.04

Class I 9.85 EUR 1,540.10 SANTANDER AM LATIN AMERICAN FIXED INCOME - USD

Class A 34,164.88 USD 22.32

Class AE 148.34 EUR 102.49

Class B 352,429.71 USD 23.87

Class D 477,236.45 USD 53.84

Class I 21.20 USD 1,063.93 SANTANDER AM EURO CORPORATE BOND - EUR

Class A 582,342.74 EUR 9.20

Class AD 254,158.14 EUR 101.83

Class B 207,610.91 EUR 9.79

Class BD 6,076.35 EUR 101.91

Class I 13,977.08 EUR 1,183.34




22

Notes

SANTANDER AM EURO EQUITY

EUR

SANTANDER AM LATIN

AMERICAN EQUITY

OPPORTUNITIES

USD

SANTANDER ACTIVE

PORTFOLIO 1

USD


615,002,236.42

- - -

47,545,893.22 6,299,448.82 3,487,797.69

34,933.96 -

16,153.20 - -

476,194.51 -

1,527,935.32

674,390,593.14

- - - - - -

3,703,279.38 584,996.51

- - - -

4,288,275.89

670,102,317.25

42,660,753.88

- - -

2,056,883.26 33,618.72 78,995.41

- 96,932.76 2,530.67

- - - - -

44,929,714.70

- - - -

601.29 78,472.64

158,900.00 132,568.52

- - - -

370,542.45

44,559,172.25

55,758,520.57

- 1,019,791.53

- 6,972,373.85 3,456,338.02

- 60,000.00

130,641.87 689.47

- - - -

1,831.15

67,400,186.46

- 920,670.25

- - - -

4,961.75 136,797.53

- 13,834.37

- -

1,076,263.90

66,323,922.56




23



SANTANDER AM EURO EQUITY - EUR

Class A 203,098.10 EUR 201.08

Class AU 3,075.10 USD 127.95

Class B 43,197.97 EUR 146.89

Class I 13,352.12 EUR 1,876.63

Class IKP 44,999.48 GBP 2,172.27

Class M 3,768,078.14 EUR 127.68 SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES - USD

Class A 162,259.87 USD 64.95

Class AE* 887.39 EUR 91.56

Class B 8,061.07 USD 71.91

Class I 18,112.55 USD 862.97

Class IE 25.67 EUR 850.83

Class ME* 180,146.69 EUR 86.32

Class RKP* 78.21 GBP 92.46 SANTANDER ACTIVE PORTFOLIO 1 - USD

Class A 67,851.54 USD 113.51

Class AE 102,723.00 EUR 129.02

Class B 360,229.61 USD 120.90 * See note 1.




24

Notes

SANTANDER ACTIVE

PORTFOLIO 2

USD

SANTANDER CORPORATE

COUPON

USD

SANTANDER SELECT

DEFENSIVE

EUR


24,888,377.50

- 999,992.13

- 5,637,480.86 1,840,308.74

- -

61,268.37 689.47

- - - -

2,479.03

33,430,596.10

- 901,869.51

- - - - -

83,204.09 -

6,234.37 - -

991,307.97

32,439,288.13

72,115,394.13

- - -

3,888,128.64 449,028.57

- 61,594.64

383,805.47 689.47

- - - -

53.75

76,898,694.67

- - - - - -

93,807.68 133,288.36

- - - -

227,096.04

76,671,598.63

293,342,783.09

- 69,488.95

- 17,439,872.33 4,966,117.42

- 27,238.85 80,480.86 1,457.76

- -

597,659.86 -

63,860.73

316,588,959.85

- 19,881.35

- - - -

358,807.42 564,983.39

8,114.36 316,104.19

- 742.47

1,268,633.18

315,320,326.67




25



SANTANDER ACTIVE PORTFOLIO 2 - USD

Class A 25,733.18 USD 135.44

Class AE 7,231.40 EUR 143.51

Class B 192,791.67 USD 144.06 SANTANDER CORPORATE COUPON - USD

Class AD 7,876.40 USD 103.56

Class CD 697,528.39 USD 106.94

Class CDE 9,505.40 EUR 116.47 SANTANDER SELECT DEFENSIVE - EUR

Class A 2,520,017.34 EUR 124.34

Class AUH 18,788.00 USD 119.22




26

Notes

SANTANDER SELECT

MODERATE

EUR

SANTANDER SELECT

DYNAMIC

EUR

SANTANDER MULTI INDEX

SUBSTANCE

EUR


196,295,261.85

- 114,462.80

- 38,795,268.25 4,606,782.27

- -

53,650.59 1,471.86

- 808.40

718,062.36 -

20,920.54

240,606,688.92

- 33,117.46

- - - -

216,277.22 444,728.80

15,576.90 449,555.48

- 1,372.57

1,160,628.43

239,446,060.49

110,895,251.23

- 105,415.49

- 9,906,171.66 7,732,007.82

- 1,688.15

11,316.68 1,387.33

- -

655,728.68 -

14,371.36

129,323,338.40

- 29,119.02

- - - -

81,433.94 297,850.11

9,238.32 323,105.72

- 753.25

741,500.36

128,581,838.04

67,709,464.32

- - -

678,581.60 - -

98,087.50 -

1,186.09 - - - - -

68,487,319.51

- - - - - -

130,625.00 130,849.08

- - - -

261,474.08

68,225,845.43




27



SANTANDER SELECT MODERATE - EUR

Class A 1,685,389.16 EUR 139.85

Class AUH 33,383.79 USD 127.54 SANTANDER SELECT DYNAMIC - EUR

Class A 749,516.68 EUR 168.60

Class AUH 17,667.84 USD 142.23 SANTANDER MULTI INDEX SUBSTANCE - EUR

Class A 2,506,296.38 EUR 27.22




28

Notes


BALANCE

EUR


AMBITION

EUR

SANTANDER SELECT INCOME

EUR


90,062,298.15

- - -

663,208.71 - -

88,254.57 -

621.71 - - - - -

90,814,383.14

- - - - - -

2,717.34 160,726.69

- - - -

163,444.03

90,650,939.11

35,106,119.50

- - -

279,331.76 - -

12,629.86 -

621.71 - - - - -

35,398,702.83

- - - - - -

21,886.56 108,563.37

- - - -

130,449.93

35,268,252.90

675,759,545.62

- -

17,884.35 35,203,776.64 12,923,236.41 12,945,328.62

331,941.43 2,722,538.83

4,891.90 - -

569,963.08 -

192,478.80

740,671,585.68

- -

1,146,868.23 - -

8,406,107.81 253,349.84 758,691.09

- 121,800.00

- -

10,686,816.97

729,984,768.71




29



SANTANDER MULTI INDEX BALANCE - EUR

Class A 2,997,564.74 EUR 30.24 SANTANDER MULTI INDEX AMBITION - EUR

Class A 1,082,805.59 EUR 32.57 SANTANDER SELECT INCOME - EUR

Class AD 7,356,902.06 EUR 47.39

Class MD 7,210,114.58 EUR 52.89




30

Notes

SANTANDER GO ABSOLUTE

RETURN

EUR

SANTANDER GO GLOBAL

EQUITY ESG

USD

SANTANDER COVERED BOND

EUR


387,177,693.03

4,073,116.96 8,603,898.17

14,719.57 51,945,848.63 12,435,635.39

980,943.84 94,675.93

1,306,292.13 9,349.40

- 1,385,022.85 5,429,848.86 8,097,616.59

69,540.93

481,624,202.28

1,922,243.54 3,251,870.79

81,690.43 -

389,486.26 925,162.32 194,852.49 444,875.46

3,208,883.80 3,163,967.28 3,998,424.13

64,883.93

17,646,340.43

463,977,861.85

664,680,995.29

- - -

11,871,711.92 - -

3,314,494.71 131,257.46

39,540.37 -

2,839,593.41 - -

67,550.86

682,945,144.02

- - -

0.18 -

390,764.76 121,002.15 480,723.53

1,711.40 - - -

994,202.02

681,950,942.00

21,918,659.75

- - -

487,270.69 287,123.90

- -

93,472.01 616.91

- -

118,558.20 -

355.61

22,906,057.07

- - - -

3.29 - -

67,235.62 - - - -

67,238.91

22,838,818.16




31



SANTANDER GO ABSOLUTE RETURN - EUR

Class A 186,391.30 EUR 110.38

Class B 292,648.28 EUR 111.90

Class BUH 559,379.72 USD 111.82

Class I 261,800.39 EUR 113.91

Class M 3,013,840.82 EUR 108.10

Class RKP* 179.23 GBP 95.35 SANTANDER GO GLOBAL EQUITY ESG - USD

Class A 39,276.89 USD 129.63

Class AE 250,156.68 EUR 177.74

Class B 430,165.19 USD 131.06

Class BE 383,711.76 EUR 179.01

Class BEH 187,677.74 EUR 127.41

Class I 66,538.06 USD 131.75

Class IKP 45,000.00 GBP 122.00

Class M 2,055,769.79 USD 135.25

Class RKP 4,908,981.26 GBP 1.35

Class SE* 2,992.74 EUR 116.62

Class V 968,694.14 USD 166.22 SANTANDER COVERED BOND - EUR

Class B 423.11 EUR 98.75

Class I 231,005.76 EUR 98.69 * See note 1.




32

Notes

SANTANDER GO DYNAMIC BOND

USD

SANTANDER LATIN

AMERICAN INVESTMENT

GRADE ESG BOND*

USD

SANTANDER FUTURE

WEALTH*

USD


245,607,231.95

696,049.30 214,198.40

- 5,969,407.67

837,172.95 -

171,164.78 1,016,694.91

1,412.93 42,000,000.00 1,306,087.56

115,620.66 1,033,550.14

1,264.82

298,969,856.07

196,452.25 418,187.69

- 242,113.40

- 42,639,062.50

163,832.05 350,973.04 585,070.14 377,023.47

2,582,480.73 8,047.13

47,563,242.40

251,406,613.67

29,560,281.63

- - -

2,886,031.11 - - -

311,007.28 700.13

- - - - -

32,758,020.15

- - -

442.48 -

509,000.00 -

46,832.38 - - - -

556,274.86

32,201,745.29

220,208,797.31

- - -

6,114,075.56 1,729,727.93

988,593.52 1,239,835.31

- 9,439.74

- 451,029.90

84,940.00 -

1,108.28

230,827,547.55

- - - - -

1,205,726.48 435,945.38 206,382.30

10,064.04 - -

8,191.31

1,866,309.51

228,961,238.04

* See note 1.




33



SANTANDER GO DYNAMIC BOND - USD

Class A 14,555.72 USD 102.95

Class B 471,184.13 USD 103.71

Class BEH 302,821.64 EUR 98.74

Class I 463,190.00 USD 105.23

Class IEH 32,358.84 EUR 99.01

Class M 700,372.44 USD 100.65

Class MEH* 395,483.80 EUR 98.83

Class RKP* 76.56 GBP 101.09 SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND - USD*

Class A* 60.00 USD 101.13

Class I* 320,384.35 USD 100.49 SANTANDER FUTURE WEALTH - USD*

Class A* 892,726.56 USD 101.83

Class AE* 221,950.09 EUR 108.93

Class AEH* 50.00 EUR 96.72 Class APH* 50.00 GBP 98.51 Class M* 321,787.30 USD 102.24

Class RKP* 508.04 GBP 104.42

Class V* 279,603.21 USD 93.63

Class X* 385,843.23 USD 101.48

Class XE* 96,116.27 EUR 112.06 * See note 1.



34

Combined statement of operations and changes in net assets for the year ended December 31, 2021 Combined statement of operations and changes in net assets for the year ended December 31, 2021 (continued) The accompanying notes form an integral part of these financial statements.

Notes

EUR

Net Asset Value at the beginning of the year/period 5,203,351,500.12 INCOME Dividends, net 3.10 35,803,054.29 Bond interest, net 3.10 40,911,574.30 Bank interest, net 3.10 6,091.99 Interest on swap contracts 3.7, 3.8, 3.13 743,953.62 Other income 260,294.72 Total Income 77,724,968.92 EXPENSES Management fees 5 50,057,164.49 Depositary fees 7 1,097,195.94 Bank interest, net 3.10 2,093,065.41 Annual tax 8 1,580,024.95 Amortisation of formation expenses 3.9 7,077.35 Audit and legal fees 575,239.54 Administration fees 7 2,353,623.67 Other expenses 3,927,959.74 Total Expenses 61,691,351.09 Net investment income/(loss) for the year/period 16,033,617.83


Combined statement of operations and changes in net assets for the year ended December 31, 2021 (continued)


35

Notes

EUR

Net investment income/(loss) for the year/period 16,033,617.83 Net realised gain/(loss): - on investments 3.2 310,591,215.46 - on foreign exchange 3.3 (1,616,769.28) - on forward foreign exchange contracts 3.4 (26,014,388.24) - on futures contracts 3.5 8,860,132.54 - on options contracts 3.6 (6,671,558.96) - on swap contracts 3.7, 3.8, 3.13 3,070,093.88 Net realised gain/(loss) for the year/period 288,218,725.40 Change in net unrealised gain/loss: - on investments (129,013,328.18) - on foreign exchange 3.3 705,431.86 - on forward foreign exchange contracts 3.4 5,249,575.71 - on futures contracts 3.5 2,799,394.21 - on options contracts 3.6 (3,476,928.53) - on swap contracts 3.7, 3.8, 3.13 3,510,451.02 Change in net unrealised gain/loss for the year/period (120,225,403.91) Net profit/(loss) from operations 184,026,939.32 Subscriptions 4 3,131,468,106.04 Redemptions 4 (1,669,964,807.39) Dividends paid 2 (32,868,448.17) Currency revaluation* 3.3 218,957,441.22 Net Asset Value at the end of the year/period 7,034,970,731.14

* The currency revaluation mentioned above results from the conversion of the net asset values at the beginning of the financial year (for the Sub-Funds denominated in other currencies than Euro) at the exchange rates applicable on December 31, 2020 to exchange rates applicable on December 31, 2021.


The accompanying notes form an integral part of these financial statements

36

Statement of operations and changes in net assets for the year ended December 31, 2021 Statement of operations and changes in net assets for the year ended December 31, 2021 (continued) The accompanying notes form an integral part of these financial statements

Notes

SANTANDER GO SHORT

DURATION DOLLAR

USD

SANTANDER LATIN

AMERICAN CORPORATE

BOND

USD

SANTANDER AM EUROPEAN

EQUITY OPPORTUNITIES*

EUR

Net Asset Value at the beginning of the year/period INCOME Dividends, net 3.10 Bond interest, net 3.10 Bank interest, net 3.10 Interest on swap contracts 3.7, 3.8, 3.13 Other income Total Income EXPENSES Management fees 5 Depositary fees 7 Bank interest, net 3.10 Annual tax 8 Amortisation of formation expenses 3.9 Audit and legal fees Administration fees 7 Other expenses Total Expenses Net investment income/(loss) for the year/period * See note 1.

1,003,322,914.47

- 5,263,287.53

2,473.10 - -

5,265,760.63

4,275,286.29 28,379.67

- 571,241.96

- 21,257.10

296,682.57 350,053.38

5,542,900.97

(277,140.34)

594,450,234.12

- 26,991,274.03

- - -

26,991,274.03

4,379,755.41 81,068.55 8,653.92

93,732.59 -

48,656.97 219,051.58 208,323.51

5,039,242.53

21,952,031.50

6,034,233.94

73,350.31 - - - -

73,350.31

80,052.57 4,255.83 1,574.18 1,881.24

- 15,739.70 27,807.22 38,368.72

169,679.46

(96,329.15)


Statement of operations and changes in net assets for the year ended December 31, 2021 (continued)


37

Notes

SANTANDER GO SHORT

DURATION DOLLAR

USD

SANTANDER LATIN

AMERICAN CORPORATE

BOND

USD

SANTANDER AM EUROPEAN

EQUITY OPPORTUNITIES*

EUR

Net investment income/(loss) for the year/period Net realised gain/(loss): - on investments 3.2 - on foreign exchange 3.3 - on forward foreign exchange contracts 3.4 - on futures contracts 3.5 - on options contracts 3.6 - on swap contracts 3.7, 3.8, 3.13 Net realised gain/(loss) for the year/period Change in net unrealised gain/loss: - on investments - on foreign exchange 3.3 - on forward foreign exchange contracts 3.4 - on futures contracts 3.5 - on options contracts 3.6 - on swap contracts 3.7, 3.8, 3.13 Change in net unrealised gain/loss for the year/period Net profit/(loss) from operations Subscriptions 4 Redemptions 4 Dividends paid 2 Net Asset Value at the end of the year/period

(277,140.34)

(18,135.58) (15,472.01)

(836.52) - - -

(34,444.11)

(3,601,639.10) 944.20

- - - -

(3,600,694.90)

(3,912,279.35)

431,298,025.76 (461,458,240.06)

-

969,250,420.82

21,952,031.50

9,375,914.24 (665.30)

(1,109,057.17) - - -

8,266,191.77

(33,918,501.89) (21,952.58) 568,265.29

- - -

(33,372,189.18)

(3,153,965.91)

88,293,720.10 (311,853,057.76)

(5,115,867.19)

362,621,063.36

(96,329.15)

382,486.70 (1,649.33)

- 44,675.91

- -

425,513.28

(65,229.55) 13,981.76

- (1,815.91)

- -

(53,063.70)

276,120.43

330,325.13 (6,640,679.50)

-

-

* See note 1




38

Notes

SANTANDER GO NORTH

AMERICAN EQUITY

USD

SANTANDER EUROPEAN

DIVIDEND

EUR

SANTANDER AM LATIN


USD

Net Asset Value at the beginning of the year/period INCOME Dividends, net 3.10 Bond interest, net 3.10 Bank interest, net 3.10 Interest on swap contracts 3.7, 3.8, 3.13 Other income Total Income EXPENSES Management fees 5 Depositary fees 7 Bank interest, net 3.10 Annual tax 8 Amortisation of formation expenses 3.9 Audit and legal fees Administration fees 7 Other expenses Total Expenses Net investment income/(loss) for the year/period

1,439,913,046.80

1,839,374.44 - - - -

1,839,374.44

13,103,708.41 76,381.73

100,236.70 412,415.58

- 22,161.53

515,112.35 709,308.91

14,939,325.21

(13,099,950.77)

96,573,473.94

4,446,117.20 - - - -

4,446,117.20

1,711,195.61 13,545.69 55,098.59 46,968.64

- 28,991.95 66,262.12

102,710.28

2,024,772.88

2,421,344.32

39,259,501.14

- 1,636,913.75

- - -

1,636,913.75

267,071.81 4,635.60

199.41 20,951.08

- 28,458.04 38,966.45 35,012.43

395,294.82

1,241,618.93




39

Notes

SANTANDER GO NORTH

AMERICAN EQUITY

USD

SANTANDER EUROPEAN

DIVIDEND

EUR

SANTANDER AM LATIN


USD


(13,099,950.77)

168,485,012.51 (1,230,634.67)

(14,036,912.25) -

(3,438,177.28) -

149,779,288.31

(230,596,067.36) 133,706.55

2,670,147.62 -

(4,358,334.18) -

(232,150,547.37)

(95,471,209.83)

937,115,207.37 (370,255,356.07)

-

1,911,301,688.27

2,421,344.32

6,346,502.01 218,727.88

2,304.65 236,896.52

- -

6,804,431.06

5,803,975.24 (27,665.32)

(203.86) (19,959.30)

- -

5,756,146.76

14,981,922.14

6,531,648.74 (21,460,270.40) (2,930,351.38)

93,696,423.04

1,241,618.93

421,031.91 (29.79)

- - - -

421,002.12

(1,408,030.58) (1,619.64)

- - - -

(1,409,650.22)

252,970.83

27,390.48 (3,351,631.65) (1,280,300.92)

34,907,929.88




40

Notes

SANTANDER AM EURO

CORPORATE BOND

EUR

SANTANDER AM BRAZILIAN

EQUITY*

USD

SANTANDER BRAZILIAN

SHORT DURATION*

USD

Net Asset Value at the beginning of the year/period INCOME Dividends, net 3.10 Bond interest, net 3.10 Bank interest, net 3.10 Interest on swap contracts 3.7, 3.8, 3.13 Other income Total Income EXPENSES Management fees 5 Depositary fees 7 Bank interest, net 3.10 Annual tax 8 Amortisation of formation expenses 3.9 Audit and legal fees Administration fees 7 Other expenses Total Expenses Net investment income/(loss) for the year/period * See note 1

56,972,770.35

- 661,548.57

- - -

661,548.57

461,074.76 9,878.22

11,164.48 19,980.36

- 17,753.35 46,265.01 55,468.94

621,585.12

39,963.45

7,908,186.52

9,885.85 - - - -

9,885.85

7,997.11 704.71 10.82

203.22 -

879.51 1,924.70

607.25

12,327.32

(2,441.47)

1,555,319.80

- 4,695.97

- - -

4,695.97

1,322.33 194.18

2.84 37.76

- 670.70

1,817.35 684.31

4,729.47

(33.50)




41

Notes

SANTANDER AM EURO

CORPORATE BOND

EUR

SANTANDER AM BRAZILIAN

EQUITY*

USD

SANTANDER BRAZILIAN

SHORT DURATION*

USD


39,963.45

753,254.44 - -

5,801.60 - -

759,056.04

(1,773,807.24) - -

6,038.40 - -

(1,767,768.84)

(968,749.35)

4,883,675.82 (9,989,457.71)

(468,059.88)

50,430,179.23

(2,441.47)

292,529.29 117,753.66

- - - -

410,282.95

(336,261.96) 1,760.36

- - - -

(334,501.60)

73,339.88

- (7,981,526.40)

-

-

(33.50)

(28,200.51) (185,685.17)

- - - -

(213,885.68)

194,220.89 (1,583.27)

- - - -

192,637.62

(21,281.56)

- (1,534,038.24)

-

-

* See note 1




42

Notes


EUR

SANTANDER AM LATIN

AMERICAN EQUITY

OPPORTUNITIES

USD

SANTANDER ACTIVE

PORTFOLIO 1

USD


536,288,506.00

14,422,058.78 - - - -

14,422,058.78

1,381,118.56 53,113.40

303,812.07 76,146.78

- 29,462.51

117,820.07 538,308.61

2,499,782.00

11,922,276.78

30,897,048.84

2,287,903.89 - - - -

2,287,903.89

391,927.52 2,284.64 2,472.29 8,724.54

- 34,982.41 56,575.05 74,022.13

570,988.58

1,716,915.31

76,661,923.08

40,679.80 333,451.91

- -

4,594.24

378,725.95

822,243.81 9,415.81

29,183.35 6,122.60

- 21,619.22 46,601.11 56,501.57

991,687.47

(612,961.52)




43

Notes


EUR

SANTANDER AM LATIN

AMERICAN EQUITY

OPPORTUNITIES

USD

SANTANDER ACTIVE

PORTFOLIO 1

USD


11,922,276.78

17,239,533.24 29,265.90

- 1,159,428.20

- -

18,428,227.34

95,323,202.36 85,189.38

- 419,901.36

- -

95,828,293.10

126,178,797.22

72,742,762.89 (65,107,748.86)

-

670,102,317.25

1,716,915.31

(2,110,091.09) (252,002.10)

1,043.85 - - -

(2,361,049.34)

(7,883,107.07) (6,137.83)

- - - -

(7,889,244.90)

(8,533,378.93)

41,854,455.92 (19,658,953.58)

-

44,559,172.25

(612,961.52)

334,377.24 (23,378.24)

- 248,997.16 596,687.94

-

1,156,684.10

31,418.48 (124,063.25)

- 30,671.76

119,734.23 -

57,761.22

601,483.80

8,736,308.56 (19,675,792.88)

-

66,323,922.56




44

Notes

SANTANDER ACTIVE

PORTFOLIO 2

USD

SANTANDER CORPORATE

COUPON

USD

SANTANDER SELECT

DEFENSIVE

EUR


32,845,780.38

15,595.46 95,935.39

- -

3,672.08

115,202.93

348,001.35 3,204.63

24,638.75 4,390.74

- 21,703.51 37,810.73 38,393.90

478,143.61

(362,940.68)

48,903,013.06

138,138.85 874,609.16

- - -

1,012,748.01

808,749.42 4,900.63

236.09 35,348.89

- 20,739.06 40,056.42 35,396.50

945,427.01

67,321.00

386,718,677.36

680,073.77 43,843.12

- -

59,809.35

783,726.24

4,322,158.71 27,113.23

189,395.19 - -

17,738.25 164,060.55 164,931.44

4,885,397.37

(4,101,671.13)




45

Notes

SANTANDER ACTIVE

PORTFOLIO 2

USD

SANTANDER CORPORATE

COUPON

USD

SANTANDER SELECT

DEFENSIVE

EUR


(362,940.68)

143,322.71 (37,016.00)

- 135,952.67 515,117.26

-

757,376.64

64,992.51 (100,281.98)

- 19,585.01

103,192.92 -

87,488.46

481,924.42

5,717,607.05 (6,606,023.72)

-

32,439,288.13

67,321.00

116,545.27 4,589.98

184.89 (34,073.58)

- -

87,246.56

(1,398,476.55) (3,317.34)

- (3,164.43)

- -

(1,404,958.32)

(1,250,390.76)

40,427,987.53 (9,873,808.64) (1,535,202.56)

76,671,598.63

(4,101,671.13)

25,557,550.80 (16,041.01)

(220,684.50) 1,412,313.94 (379,039.80)

-

26,354,099.43

(19,167,173.86) 25,404.65

303,404.30 (403,816.83) (174,489.44)

-

(19,416,671.18)

2,835,757.12

4,837,201.88 (79,071,309.69)

-

315,320,326.67




46

Notes

SANTANDER SELECT

MODERATE

EUR

SANTANDER SELECT

DYNAMIC

EUR


SUBSTANCE

EUR


265,461,766.13

541,401.06 34,653.40

- -

14,343.93

590,398.39

3,742,166.53 20,457.10

137,541.12 40,306.80

- 17,738.25

131,808.90 149,245.02

4,239,263.72

(3,648,865.33)

124,984,072.78

257,895.21 8,845.40

- - -

266,740.61

2,201,988.82 15,245.47

189,503.49 33,458.72

- 17,738.25 65,142.87

125,735.34

2,648,812.96

(2,382,072.35)

21,447,467.10

68,407.93 - - - -

68,407.93

436,832.81 6,272.80 3,915.52

26,917.03 -

17,606.12 19,792.15 48,879.72

560,216.15

(491,808.22)




47

Notes

SANTANDER SELECT

MODERATE

EUR

SANTANDER SELECT

DYNAMIC

EUR


SUBSTANCE

EUR


(3,648,865.33)

27,612,770.47 (8,956.36) 82,323.53

(1,584,121.41) (418,182.51)

-

25,683,833.72

(6,810,399.44) 16,394.76

191,168.27 481,013.52

(247,798.54) -

(6,369,621.43)

15,665,346.96

4,468,757.84 (46,149,810.44)

-

239,446,060.49

(2,382,072.35)

14,542,938.59 41,595.68 63,883.93

2,590,050.22 (167,603.93)

-

17,070,864.49

2,882,931.92 2,253.01

84,840.92 161,126.68

(189,887.07) -

2,941,265.46

17,630,057.60

2,714,592.79 (16,746,885.13)

-

128,581,838.04

(491,808.22)

(16,332.78) 71.41

- - - -

(16,261.37)

1,866,396.24 1,250.42

- - - -

1,867,646.66

1,359,577.07

49,678,535.06 (4,259,733.80)

-

68,225,845.43




48

Notes


BALANCE

EUR


AMBITION

EUR


EUR


26,035,356.69

189,843.06 - - - -

189,843.06

543,907.77 7,168.65 4,925.49

33,704.84 2,197.30

18,109.12 31,040.09 50,515.82

691,569.08

(501,726.02)

12,017,510.87

73,027.83 - - - -

73,027.83

220,883.85 4,376.66 1,595.58

13,540.59 2,197.30

18,029.90 29,779.52 43,381.24

333,784.64

(260,756.81)

591,993,540.62

6,482,011.53 1,623,859.90

- -

159,058.46

8,264,929.89

6,037,998.01 79,804.43

432,464.16 24,466.33 2,682.75

26,712.14 223,871.04 326,911.48

7,154,910.34

1,110,019.55




49

Notes


BALANCE

EUR


AMBITION

EUR


EUR


(501,726.02)

20,549.36 2.77

- - - -

20,552.13

5,961,229.39 8,606.52

- - - -

5,969,835.91

5,488,662.02

62,417,685.86 (3,290,765.46)

-

90,650,939.11

(260,756.81)

34,353.59 242.37

- - - -

34,595.96

3,836,712.56 4,128.68

- - - -

3,840,841.24

3,614,680.39

21,798,156.24 (2,162,094.60)

-

35,268,252.90

1,110,019.55

25,127,785.75 242,980.11

(157,013.10) 5,692,916.98

(46,200.00) 4,407,675.22

35,268,144.96

(1,063,491.42) 729,711.59

- 519,915.42

- (1,128,983.88)

(942,848.29)

35,435,316.22

159,700,247.69 (34,648,771.92) (22,495,563.90)

729,984,768.71




50

Notes

SANTANDER SELECT TOTAL

RETURN*

EUR


RETURN

EUR

SANTANDER GO GLOBAL EQUITY

ESG

USD


23,152,442.60

- 20.02

- -

320.40

340.42

14,062.13 362.52

2,156.34 562.51

- 564.84

1,553.22 2,011.46

21,273.02

(20,932.60)

145,008,400.65

837,229.46 3,643,889.13

- 508,616.87

-

4,989,735.46

1,998,814.48 380,728.34 504,666.80

62,600.92 -

25,714.70 67,824.50

560,748.43

3,601,098.17

1,388,637.29

158,259,748.20

4,420,966.61 - - - -

4,420,966.61

2,634,444.11 51,813.76 67,197.11

100,475.88 -

33,261.89 90,623.63

160,735.35

3,138,551.73

1,282,414.88




51

Notes

SANTANDER SELECT TOTAL

RETURN*

EUR


RETURN

EUR


ESG

USD


(20,932.60)

938,737.35 (2,702.95) 77,253.04

121,146.63 - -

1,134,434.07

(747,800.26) 22,261.94

(75,517.65) (83,108.58)

- -

(884,164.55)

229,336.92

- (23,381,779.52)

-

-

1,388,637.29

3,796,023.24 494,670.71

(519,476.58) (1,834,256.74) (2,441,008.30) (1,836,564.50)

(2,340,612.17)

(1,827,203.10) (84,005.56)

(2,148,769.90) 1,720,204.05

770,446.74 6,008,072.36

4,438,744.59

3,486,769.71

393,113,599.46 (77,630,907.97)

-

463,977,861.85

1,282,414.88

38,163,775.77 (17,421.06)

(8,192,535.74) - - -

29,953,818.97

38,573,207.01 (5,418.57)

3,114,868.60 - - -

41,682,657.04

72,918,890.89

528,012,761.46 (77,240,458.55)

-

681,950,942.00

* See note 1.




52

Notes


EUR


USD

SANTANDER LATIN

AMERICAN INVESTMENT

GRADE ESG BOND*

USD


27,068,753.13

- 66,945.18

- - -

66,945.18

26,034.50 3,358.60 7,392.62 2,964.68

- 17,770.31 29,543.47 44,455.33

131,519.51

(64,574.33)

94,245,368.27

- 3,732,983.31

4,454.71 267,624.95

4,161.26

4,009,224.23

1,876,974.34 255,849.70

- 67,323.96

- 21,163.43 79,565.45

135,407.95

2,436,284.83

1,572,939.40

-

- 673,215.79

- - -

673,215.79

55,227.01 3,205.92

85.04 2,643.97

- 42,023.34 36,561.25 22,696.70

162,443.23

510,772.56




53

Notes


EUR


USD

SANTANDER LATIN

AMERICAN INVESTMENT

GRADE ESG BOND*

USD


(64,574.33)

95,367.71 - -

5,084.70 - -

100,452.41

(615,262.87) (0.23)

- 139,025.30

- -

(476,237.80)

(440,359.72)

184,360.64 (3,973,935.89)

-

22,838,818.16

1,572,939.40

48,715.70 (888,655.74)

(3,602,190.77) (226,749.33)

188,441.96 567,443.65

(3,912,994.53)

(5,339,089.10) 930.54

1,046,352.71 (290,250.86)

1,457.36 (1,556,414.51)

(6,137,013.86)

(8,477,068.99)

248,735,353.53 (83,097,039.14)

-

251,406,613.67

510,772.56

(124,104.05) 534.27

- - - -

(123,569.78)

(390,598.95) (1.59)

- - - -

(390,600.54)

(3,397.76)

32,205,143.05 - -

32,201,745.29

* See note 1.




54

Notes

SANTANDER FUTURE

WEALTH*

USD


-

39,873.97

- - -

18,006.83

57,880.80

1,593,948.04 14,167.33 48,949.82 37,076.03

- 29,917.66 52,324.76 79,130.71

1,855,514.35

(1,797,633.55)




55

Notes

SANTANDER FUTURE

WEALTH*

USD


(1,797,633.55)

(1,125,489.16) (445,669.06)

(1,879,732.13) 1,024,667.96

(1,523,313.03) -

(3,949,535.42)

4,219,418.13 22,321.31

440,965.86 84,940.00

- -

4,767,645.30

(979,523.67)

307,797,315.56 (77,856,553.85)

-

228,961,238.04

* See note 1.


SANTANDER GO SHORT DURATION DOLLAR

56

Statistical information Statistical information (continued)


December 31, 2021 December 31, 2020 December 31, 2019

Net Asset Value USD 969,250,420.82 1,003,322,914.47 336,593,935.19

Class A Number of shares outstanding 234,875.22 240,515.33 174,841.13 Net Asset Value per share USD 151.01 152.01 150.66 Class B Number of shares outstanding 5,173,122.24 5,463,102.33 1,861,970.41 Net Asset Value per share USD 166.21 166.82 164.84 Class BE Number of shares outstanding 635,188.90 446,888.59 - Net Asset Value per share EUR 96.81 89.98 - Class I Number of shares outstanding 37,957.56 60,605.63 32,913.24 Net Asset Value per share USD 102.29 102.37 100.86 Class S* Number of shares outstanding 4,000.00 - - Net Asset Value per share USD 99.87 - -

* See note 1.


SANTANDER LATIN AMERICAN CORPORATE BOND

Statistical information (continued)

57



Net Asset Value USD 362,621,063.36 594,450,234.12 470,562,976.46

Class A Number of shares outstanding 233,394.66 293,944.85 349,962.73 Net Asset Value per share USD 216.48 219.56 208.56 Class AD Number of shares outstanding 646,477.67 688,315.77 724,284.21 Net Asset Value per share USD 85.84 91.99 92.80 Class AE Number of shares outstanding 5,043.54 463.76 100.00 Net Asset Value per share EUR 109.70 102.82 105.87 Class AEH Number of shares outstanding 114.41 193.81 100.00 Net Asset Value per share EUR 104.98 106.86 102.80 Class I Number of shares outstanding 104,657.54 194,104.74 157,553.79 Net Asset Value per share USD 2,114.13 2,118.91 1,988.90 Class ID Number of shares outstanding 275,245.68 319,707.02 166,000.00 Net Asset Value per share USD 97.08 102.88 102.18 Class RKP Number of shares outstanding 90,925.75 32,671.48 11,913.88 Net Asset Value per share GBP 1.11 1.10 1.06 Class V Number of shares outstanding 69,223.54 190,131.78 - Net Asset Value per share USD 113.25 117.19 -


SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES*


58

SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES*


Net Asset Value EUR 4,138,632.18 6,034,233.94 24,251,775.76

Class A** Number of shares outstanding 60,255.10 84,561.17 110,215.75 Net Asset Value per share EUR 14.60 14.01 14.74 Class B** Number of shares outstanding 30,298.91 40,099.92 64,438.82 Net Asset Value per share EUR 107.56 102.72 107.55 Class I*** Number of shares outstanding 0.01 507.63 10,521.74 Net Asset Value per share EUR 1,541.00 1,438.29 1,491.79

* See note 1. ** The last NAV was calculated on December 13, 2021. *** The last NAV was calculated on May 18, 2021.


SANTANDER GO NORTH AMERICAN EQUITY


59



Net Asset Value USD 1,911,301,688.27 1,439,913,046.80 312,328,666.29

Class A Number of shares outstanding 1,112,053.37 948,611.93 993,085.00 Net Asset Value per share USD 33.71 35.28 20.77 Class B Number of shares outstanding 7,176,728.27 6,518,021.46 2,831,633.19 Net Asset Value per share USD 38.46 39.97 23.37 Class BEH Number of shares outstanding 518,566.42 441,402.95 132,968.82 Net Asset Value per share EUR 155.83 163.73 97.69 Class C Number of shares outstanding 1,333,974.48 706,564.09 55,474.20 Net Asset Value per share USD 17.26 17.96 10.51 Class I Number of shares outstanding 12,488,208.53 11,809,804.82 8,609,740.61 Net Asset Value per share USD 17.67 18.22 10.58 Class M Number of shares outstanding 2,019,039.22 1,455,034.42 1,146,409.21 Net Asset Value per share USD 173.56 178.75 103.59 Class ME Number of shares outstanding 3,835,592.46 2,330,846.26 - Net Asset Value per share EUR 191.73 183.53 - Class RKP* Number of shares outstanding 64.09 - - Net Asset Value per share GBP 98.54 - - Class SE Number of shares outstanding 3,903.54 5,180.67 5,035.87 Net Asset Value per share EUR 162.28 155.56 98.46 Class V Number of shares outstanding 486,172.99 272,477.41 - Net Asset Value per share USD 153.85 165.60 -

* See note 1.


SANTANDER EUROPEAN DIVIDEND


60




Class A Number of shares outstanding 291,751.60 312,606.22 354,973.84 Net Asset Value per share EUR 6.02 5.17 5.96 Class AD Number of shares outstanding 760,351.87 887,177.72 985,204.29 Net Asset Value per share EUR 108.38 96.30 114.91 Class AU Number of shares outstanding 37,469.67 44,920.98 60,990.73 Net Asset Value per share USD 152.76 141.31 149.29 Class B Number of shares outstanding 651,914.51 625,740.25 650,165.83 Net Asset Value per share EUR 6.82 5.83 6.68 Class BUH Number of shares outstanding 338.85 338.85 338.85 Net Asset Value per share USD 127.04 107.93 121.59 Class I Number of shares outstanding 9.85 499.85 3,084.72 Net Asset Value per share EUR 1,540.10 1,305.30 1,481.75


SANTANDER AM LATIN AMERICAN FIXED INCOME


61




Class A Number of shares outstanding 34,164.88 35,925.00 58,735.94 Net Asset Value per share USD 22.32 22.39 23.84 Class AE Number of shares outstanding 148.34 90.54 523.24 Net Asset Value per share EUR 102.49 95.60 110.99 Class B Number of shares outstanding 352,429.71 413,839.14 7,359.44 Net Asset Value per share USD 23.87 23.70 25.06 Class D Number of shares outstanding 477,236.45 502,740.19 32,091.21 Net Asset Value per share USD 53.84 56.10 60.63 Class I Number of shares outstanding 21.20 409.20 409.20 Net Asset Value per share USD 1,063.93 1,054.62 1,109.98


SANTANDER AM EURO CORPORATE BOND


62




Class A Number of shares outstanding 582,342.74 798,377.20 617,961.17 Net Asset Value per share EUR 9.20 9.38 9.22 Class AD Number of shares outstanding 254,158.14 261,759.11 274,152.73 Net Asset Value per share EUR 101.83 105.68 105.54 Class B Number of shares outstanding 207,610.91 451,845.56 227,273.96 Net Asset Value per share EUR 9.79 9.96 9.77 Class BD Number of shares outstanding 6,076.35 5,110.65 34,326.93 Net Asset Value per share EUR 101.91 105.16 104.82 Class I Number of shares outstanding 13,977.08 13,977.08 19,713.15 Net Asset Value per share EUR 1,183.34 1,200.47 1,173.60


SANTANDER AM BRAZILIAN EQUITY*


63

SANTANDER AM BRAZILIAN EQUITY*

January 18, 2021 December 31, 2020 December 31, 2019


Class A Number of shares outstanding 109,683.59 109,683.59 101,879.29 Net Asset Value per share USD 66.25 65.63 82.02 Class AE Number of shares outstanding 1,213.97 2,114.42 4,210.18 Net Asset Value per share EUR 79.80 77.61 106.49 Class B Number of shares outstanding 7,267.44 7,267.44 8,181.62 Net Asset Value per share USD 70.59 69.91 86.94

* See note 1


SANTANDER BRAZILIAN SHORT DURATION*


64

SANTANDER BRAZILIAN SHORT DURATION*



Class A Number of shares outstanding 17,053.49 17,053.49 27,973.80 Net Asset Value per share USD 71.88 72.74 96.57 Class AE Number of shares outstanding 1,958.51 3,345.38 6,845.38 Net Asset Value per share EUR 77.03 76.53 111.55 Class B Number of shares outstanding - - 18,988.58 Net Asset Value per share USD - - 101.23

* See note 1




65




Class A Number of shares outstanding 203,098.10 188,634.41 166,001.21 Net Asset Value per share EUR 201.08 164.55 173.61 Class AU Number of shares outstanding 3,075.10 1,519.43 3,682.76 Net Asset Value per share USD 127.95 113.20 110.12 Class B Number of shares outstanding 43,197.97 8,532.14 7,058.83 Net Asset Value per share EUR 146.89 119.61 125.57 Class I Number of shares outstanding 13,352.12 9,153.71 29,676.44 Net Asset Value per share EUR 1,876.63 1,513.75 1,574.20 Class IKP Number of shares outstanding 44,999.48 51,202.48 51,202.48 Net Asset Value per share GBP 2,172.27 1,861.56 1,826.18 Class M Number of shares outstanding 3,768,078.14 3,746,568.56 4,757,969.14 Net Asset Value per share EUR 127.68 102.43 105.93


SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES


66




Class A Number of shares outstanding 162,259.87 85,579.27 102,657.58 Net Asset Value per share USD 64.95 74.71 94.98 Class AE* Number of shares outstanding 887.39 - - Net Asset Value per share EUR 91.56 - - Class B Number of shares outstanding 8,061.07 2,594.00 3,820.74 Net Asset Value per share USD 71.91 82.51 104.64 Class I Number of shares outstanding 18,112.55 24,177.68 17,578.36 Net Asset Value per share USD 862.97 981.86 1,234.81 Class IE Number of shares outstanding 25.67 500.00 500.00 Net Asset Value per share EUR 850.83 895.01 1,233.43 Class ME* Number of shares outstanding 180,146.69 - - Net Asset Value per share EUR 86.32 - - Class RKP* Number of shares outstanding 78.21 - - Net Asset Value per share GBP 92.46 - -

* See note 1.


SANTANDER ACTIVE PORTFOLIO 1


67








68






SANTANDER CORPORATE COUPON


69




Class AD Number of shares outstanding 7,876.40 9,345.11 8,811.86 Net Asset Value per share USD 103.56 108.43 107.18 Class CD Number of shares outstanding 697,528.39 421,137.48 334,766.69 Net Asset Value per share USD 106.94 111.42 109.59 Class CDE Number of shares outstanding 9,505.40 6,992.87 7,207.27 Net Asset Value per share EUR 116.47 112.79 120.96 Class ID Number of shares outstanding - - 223.61 Net Asset Value per share USD - - 112.91


SANTANDER SELECT DEFENSIVE


70




Class A Number of shares outstanding 2,520,017.34 3,123,229.90 3,755,583.35 Net Asset Value per share EUR 124.34 123.21 121.35 Class AUH Number of shares outstanding 18,788.00 19,836.78 22,275.67 Net Asset Value per share USD 119.22 117.44 114.02


SANTANDER SELECT MODERATE


71




Class A Number of shares outstanding 1,685,389.16 1,985,982.76 2,212,194.46 Net Asset Value per share EUR 139.85 131.49 134.22 Class AUH Number of shares outstanding 33,383.79 44,372.20 44,747.03 Net Asset Value per share USD 127.54 119.09 119.71


SANTANDER SELECT DYNAMIC


72




Class A Number of shares outstanding 749,516.68 836,529.16 892,432.74 Net Asset Value per share EUR 168.60 146.78 153.13 Class AUH Number of shares outstanding 17,667.84 21,876.09 28,449.19 Net Asset Value per share USD 142.23 123.03 126.26


SANTANDER MULTI INDEX SUBSTANCE


73




Class A Number of shares outstanding 2,506,296.38 809,999.03 278,636.30 Net Asset Value per share EUR 27.22 26.48 25.58


SANTANDER MULTI INDEX BALANCE


74




Class A Number of shares outstanding 2,997,564.74 952,436.20 389,431.71 Net Asset Value per share EUR 30.24 27.34 26.24 Class ZD Number of shares outstanding - - 80,040.00 Net Asset Value per share EUR - - 27.14


SANTANDER MULTI INDEX AMBITION


75




Class A Number of shares outstanding 1,082,805.59 435,197.55 144,640.97 Net Asset Value per share EUR 32.57 27.61 26.57 Class ZD Number of shares outstanding - - 88,040.00 Net Asset Value per share EUR - - 29.72




76




Class AD Number of shares outstanding 7,356,902.06 7,195,486.92 6,552,694.00 Net Asset Value per share EUR 47.39 46.54 48.15 Class MD Number of shares outstanding 7,210,114.58 5,012,578.65 4,262,487.59 Net Asset Value per share EUR 52.89 51.29 52.55


SANTANDER SELECT TOTAL RETURN*


77

SANTANDER SELECT TOTAL RETURN



Class A Number of shares outstanding 459,155.79 474,973.84 593,282.63 Net Asset Value per share EUR 49.23 48.74 49.56

*See note 1.


SANTANDER GO ABSOLUTE RETURN


78




Class A Number of shares outstanding 186,391.30 4,496.00 100.00 Net Asset Value per share EUR 110.38 110.37 105.13 Class B Number of shares outstanding 292,648.28 111,174.97 28,524.00 Net Asset Value per share EUR 111.90 111.32 105.52 Class BUH Number of shares outstanding 559,379.72 9,361.64 7,688.51 Net Asset Value per share USD 111.82 110.45 103.21 Class I Number of shares outstanding 261,800.39 699,044.00 699,044.00 Net Asset Value per share EUR 113.91 112.74 106.33 Class M Number of shares outstanding 3,013,840.82 491,176.08 - Net Asset Value per share EUR 108.10 106.85 - Class RKP* Number of shares outstanding 179.23 - - Net Asset Value per share GBP 95.35 - -

* See note 1.


SANTANDER GO GLOBAL EQUITY ESG


79




Class A Number of shares outstanding 39,276.89 5,455.79 100.00 Net Asset Value per share USD 129.63 102.70 106.39 Class AE Number of shares outstanding 250,156.68 55,001.52 - Net Asset Value per share EUR 177.74 130.88 - Class B Number of shares outstanding 430,165.19 64,359.88 33,924.00 Net Asset Value per share USD 131.06 103.42 106.58 Class BE Number of shares outstanding 383,711.76 36,359.13 - Net Asset Value per share EUR 179.01 131.30 - Class BEH Number of shares outstanding 187,677.74 28,946.35 100.00 Net Asset Value per share EUR 127.41 101.49 106.99 Class I Number of shares outstanding 66,538.06 216,798.76 216,560.00 Net Asset Value per share USD 131.75 103.28 105.65 Class IKP Number of shares outstanding 45,000.00 45,000.00 45,000.00 Net Asset Value per share GBP 122.00 94.73 99.99 Class M Number of shares outstanding 2,055,769.79 853,653.47 - Net Asset Value per share USD 135.25 105.88 - Class RKP Number of shares outstanding 4,908,981.26 293,187.71 - Net Asset Value per share GBP 1.35 1.05 - Class SE* Number of shares outstanding 2,992.74 - - Net Asset Value per share EUR 116.62 - - Class V Number of shares outstanding 968,694.14 101,464.13 - Net Asset Value per share USD 166.22 135.77 -

* See note 1.




80




Class B Number of shares outstanding 423.11 50.00 - Net Asset Value per share EUR 98.75 100.77 - Class I Number of shares outstanding 231,005.76 269,561.82 267,042.79 Net Asset Value per share EUR 98.69 100.40 99.79




81




Class A Number of shares outstanding 14,555.72 196.90 100.00 Net Asset Value per share USD 102.95 104.53 100.73 Class B Number of shares outstanding 471,184.13 220,352.77 598.82 Net Asset Value per share USD 103.71 104.92 100.77 Class BEH Number of shares outstanding 302,821.64 50.00 - Net Asset Value per share EUR 98.74 100.74 - Class I Number of shares outstanding 463,190.00 463,190.00 463,190.00 Net Asset Value per share USD 105.23 105.73 100.85 Class IEH Number of shares outstanding 32,358.84 26,161.60 - Net Asset Value per share EUR 99.01 100.33 - Class M Number of shares outstanding 700,372.44 187,356.31 - Net Asset Value per share USD 100.65 100.95 - Class MEH* Number of shares outstanding 395,483.80 - - Net Asset Value per share EUR 98.83 - - Class RKP* Number of shares outstanding 76.56 - - Net Asset Value per share GBP 101.09 - -

* See note 1.


SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND*


82

SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND


Net Asset Value USD 32,201,745.29 - -

Class A* Number of shares outstanding 60.00 - - Net Asset Value per share USD 101.13 - - Class I* Number of shares outstanding 320,384.35 - - Net Asset Value per share USD 100.49 - -

* See note 1.


SANTANDER FUTURE WEALTH*


83

SANTANDER FUTURE WEALTH


Net Asset Value USD 228,961,238.04 - -

Class A* Number of shares outstanding 892,726.56 - - Net Asset Value per share USD 101.83 - - Class AE* Number of shares outstanding 221,950.09 - - Net Asset Value per share EUR 108.93 - - Class AEH* Number of shares outstanding 50.00 - - Net Asset Value per share EUR 96.72 - - Class APH* Number of shares outstanding 50.00 - - Net Asset Value per share GBP 98.51 - - Class M* Number of shares outstanding 321,787.30 - - Net Asset Value per share USD 102.24 - - Class RKP* Number of shares outstanding 508.04 - - Net Asset Value per share GBP 104.42 - - Class V* Number of shares outstanding 279,603.21 - - Net Asset Value per share USD 93.63 - - Class X* Number of shares outstanding 385,843.23 - - Net Asset Value per share USD 101.48 - - Class XE* Number of shares outstanding 96,116.27 - - Net Asset Value per share EUR 112.06 - -

* See note 1.




84

SANTAND ER GO SHORT DURA TION DOLLAR SANTANDER GO SHO RT DU RATION DOLLAR


Statement of investments as at December 31, 2021 Statement of investments as at December 31, 2021 (continued)

Currency Quantity/ Nominal Description

Cost USD

Market Value

USD

% of Net Asset Value

Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds Australia

USD 200,000 COMMONWEALTH BANK OF AUSTRALIA NOTES VARIABLE 0.930% 10/03/22 200,208.04 200,234.76 0.02%

USD 7,950,000 MACQUARIE BANK LTD MEDIUM TERM NOTE FIXED 0.441% 16/12/22 7,950,000.00 7,937,596.81 0.82%

USD 449,000 MACQUARIE BANK LTD MEDIUM TERM NOTE FIXED 2.100% 17/10/22 454,987.51 454,468.38 0.05%

USD 500,000 NATIONAL AUSTRALIA BANK LTD MEDIUM TERM NOTE 0.824% 12/04/23 502,743.63 503,137.61 0.05%

USD 2,436,000 NATIONAL AUSTRALIA BANK LTD NOTES VARIABLE 0.629% 13/12/22 2,442,112.15 2,443,464.76 0.25%

USD 6,922,000 SUNCORP-METWAY LTD NOTES FIXED 2.800% 04/05/22 6,974,966.90 6,971,951.99 0.72% Total Australia 18,525,018.23 18,510,854.31 1.91% Canada

USD 2,000,000 BANK OF MONTREAL MEDIUM TERM NOTE VARIABLE 0.821% 26/03/22 2,001,905.28 2,002,069.96 0.21%

USD 1,504,000 BANK OF NOVA SCOTIA/THE CALLABLE NOTES FIXED 0.400% 15/09/2023 1,502,896.03 1,492,773.03 0.15%

USD 6,005,000 BANK OF NOVA SCOTIA/THE CALLABLE NOTES FIXED 0.700% 15/04/24 6,003,900.66 5,955,623.35 0.61%

USD 274,000 BANK OF NOVA SCOTIA/THE NOTES FIXED 0.800% 15/06/23 273,760.22 273,848.04 0.03% USD 5,000,000 BANK OF NOVA SCOTIA/THE NOTES VARIABLE 15/09/23 5,023,925.47 5,017,482.05 0.52% USD 2,544,000 FEDERATION DES CAISSES DESJARDINS DU QUEBEC MEDIUM

0.700% 21/05/24 2,543,633.64 2,507,886.11 0.26% USD 3,508,000 ROYAL BANK OF CANADA MEDIUM TERM NOTE VARIABLE

0.520% 26/10/23 3,508,000.00 3,521,125.50 0.36% USD 10,427,000 TORONTO-DOMINION BANK/THE CALLABLE MEDIUM TERM

0.300% 02/06/23 10,423,004.26 10,365,707.70 1.08% USD 2,361,000 TORONTO-DOMINION BANK/THE CALLABLE MEDIUM TERM

0.750% 12/06/23 2,360,157.84 2,361,965.04 0.24% Total Canada 33,641,183.40 33,498,480.78 3.46% Cayman Islands

USD 3,987,000 CK HUTCHISON INTERNATIONAL 17 II LTD NOTES FIXED 2.750% 29/03/23 4,096,126.57 4,074,275.95 0.42%

USD 480,000 CK HUTCHISON INTERNATIONAL 17 LTD NOTES FIXED 2.875% 05/04/2022 483,086.84 482,525.25 0.05%

USD 4,952,000 HUTCHISON WHAMPOA INTERNATIONAL 11 LTD NOTES FIXED 4.625% 13/01/22 4,958,601.86 4,957,540.00 0.51%

USD 875,000 HUTCHISON WHAMPOA INTERNATIONAL 11 LTD NOTES FIXED 4.625% 13/01/22 875,654.23 875,978.90 0.09%

USD 3,006,000 SWIRE PACIFIC MTN FINANCING LTD MEDIUM TERM NOTE 4.500% 28/02/2022 3,025,189.64 3,025,666.76 0.31%

Total Cayman Islands 13,438,659.14 13,415,986.86 1.38% Finland

USD 544,000 NORDEA BANK ABP MEDIUM TERM NOTE FIXED 1.000% 09/06/23 543,733.17 545,906.29 0.06% Total Finland 543,733.17 545,906.29 0.06%



Statement of investments as at December 31, 2021 (continued)


85


Cost USD

Market Value

USD


France

USD 4,282,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MEDIUM TERM 1.178% 20/07/23 4,330,237.62 4,334,049.64 0.45%

USD 2,896,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MEDIUM TERM 2.125% 21/11/22 2,923,231.16 2,936,917.24 0.30%

USD 3,621,000 BPCE SA MEDIUM TERM NOTE FIXED 2.750% 11/01/23 3,708,776.24 3,697,332.38 0.38% USD 3,201,000 BPCE SA MEDIUM TERM NOTE VARIABLE 0.540% 17/02/22 3,201,339.12 3,201,822.59 0.33% USD 5,335,000 BPCE SA NOTES VARIABLE 14/JAN/2022 USD 1000 1.611% 14/01/22 5,335,260.19 5,335,336.64 0.55% USD 3,197,000 BPCE SA NOTES VARIABLE 14/JAN/2022 USD 1000 1.611% 14/01/22 3,197,000.00 3,197,201.73 0.33% USD 7,137,000 CREDIT AGRICOLE SA/LONDON MEDIUM TERM NOTE FIXED

3.750% 24/04/2023 7,426,096.40 7,397,649.88 0.77% USD 700,000 SCHNEIDER ELECTRIC SE CALLABLE NOTES FIXED 2.950%

27/09/2022 712,732.88 711,902.04 0.07% Total France 30,834,673.61 30,812,212.14 3.18% Germany

USD 1,560,000 BMW FINANCE NV NOTES VARIABLE 12/08/22 1,566,521.76 1,567,102.35 0.16% USD 3,778,000 BMW US CAPITAL LLC CALLABLE NOTES FIXED 2.700% 06/04/22 3,799,917.11 3,793,804.43 0.39% USD 2,075,000 BMW US CAPITAL LLC CALLABLE NOTES FIXED 2.950% 14/04/22 2,089,141.40 2,090,062.90 0.22% USD 1,950,000 DAIMLER FINANCE NORTH AMERICA LLC CALLABLE NOTES

1.750% 10/03/2023 1,975,141.65 1,970,200.13 0.20% USD 230,000 DAIMLER FINANCE NORTH AMERICA LLC CALLABLE NOTES

3.350% 22/02/2023 237,199.37 236,473.67 0.02% USD 7,906,000 DAIMLER FINANCE NORTH AMERICA LLC CALLABLE NOTES

3.700% 04/05/2023 8,220,249.74 8,194,965.09 0.85% Total Germany 17,888,171.03 17,852,608.57 1.84% Japan

USD 9,280,000 CENTRAL JAPAN RAILWAY CO CALLABLE BOND FIXED 2.800% 23/02/2022 9,308,529.25 9,271,328.21 0.95%

USD 1,800,000 MITSUBISHI UFJ FINANCIAL GROUP INC NOTES FIXED 3.218% 07/03/22 1,808,343.72 1,809,173.59 0.19%

USD 910,000 MITSUBISHI UFJ FINANCIAL GROUP INC NOTES VARIABLE 0.968% 02/03/23 913,414.19 914,736.11 0.09%

USD 4,003,000 MITSUBISHI UFJ FINANCIAL GROUP INC NOTES VARIABLE 1.125% 22/02/22 4,007,139.74 4,007,160.72 0.41%

USD 2,309,000 MITSUBISHI UFJ FINANCIAL GROUP INC NOTES VARIABLE 26/07/23 2,328,797.92 2,329,654.88 0.24%

USD 397,000 MIZUHO FINANCIAL GROUP INC CALLABLE NOTES VARIABLE 16/07/23 398,842.63 398,119.45 0.04%

USD 1,388,000 MIZUHO FINANCIAL GROUP INC NOTES FIXED 2.601% 11/09/22 1,405,083.59 1,408,004.06 0.15% USD 1,593,000 MIZUHO FINANCIAL GROUP INC NOTES VARIABLE 1.101% 11/09/22 1,600,265.67 1,600,410.99 0.17% USD 4,816,000 MIZUHO FINANCIAL GROUP INC NOTES VARIABLE 1.164% 28/02/22 4,820,785.09 4,822,463.36 0.50% USD 300,000 MUFG BANK LTD BOND FIXED 3.200% 26/02/23 309,248.13 307,985.85 0.03% USD 1,152,000 MUFG BANK LTD NOTES FIXED 3.200% 26/02/23 1,187,719.45 1,182,665.68 0.12% USD 1,718,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES FIXED 0.508%

12/01/24 1,718,000.00 1,699,304.26 0.18% USD 999,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES FIXED 2.778%

18/10/22 1,017,186.04 1,016,432.15 0.10% USD 100,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES FIXED 2.784%

12/07/22 101,241.30 101,249.49 0.01% USD 1,698,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES FIXED 2.846%

11/01/22 1,699,209.40 1,698,884.98 0.18% USD 1,130,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES VARIABLE

1.078% 19/07/23 1,137,224.78 1,140,395.88 0.12% USD 874,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES VARIABLE

12/07/22 876,627.69 876,852.20 0.09% USD 2,443,000 SUMITOMO MITSUI TRUST BANK LTD MEDIUM TERM NOTE

0.489% 16/09/2024 2,443,000.00 2,440,006.79 0.25%





86


Cost USD

Market Value

USD


USD 2,206,000 SUMITOMO MITSUI TRUST BANK LTD NOTES FIXED 0.800%

12/09/23 2,205,451.30 2,199,192.79 0.23% USD 590,000 TOYOTA INDUSTRIES CORP CALLABLE NOTES FIXED 3.110%

12/03/22 592,833.96 591,862.43 0.06% USD 1,210,000 TOYOTA INDUSTRIES CORP CALLABLE NOTES FIXED 3.235%

16/03/23 1,246,447.98 1,242,384.46 0.13% Total Japan 41,125,391.83 41,058,268.33 4.24% Netherlands Antilles

USD 3,398,000 SCHLUMBERGER FINANCE CANADA LTD CALLABLE NOTES 2.650% 20/11/2022 3,461,407.27 3,453,627.50 0.36%

Total Netherlands Antilles 3,461,407.27 3,453,627.50 0.36% New Zealand

USD 2,627,000 ANZ NEW ZEALAND INT'L LTD/LONDON BOND VARIABLE 2.940% 25/01/22 2,628,145.62 2,628,365.91 0.27%

USD 775,000 ANZ NEW ZEALAND INT'L LTD/LONDON MEDIUM TERM NOTE 1.900% 13/02/23 787,261.09 785,362.23 0.08%

USD 2,240,000 ANZ NEW ZEALAND INT'L LTD/LONDON NOTES FIXED 2.875% 25/01/22 2,243,347.37 2,243,203.11 0.23%

USD 2,059,000 ASB BANK LTD MEDIUM TERM NOTE VARIABLE 14/06/23 2,082,610.61 2,084,048.85 0.22% USD 2,424,000 BNZ INTERNATIONAL FUNDING LTD/LONDON NOTES FIXED

2.650% 03/11/22 2,465,849.67 2,466,193.87 0.25% Total New Zealand 10,207,214.36 10,207,173.97 1.05% Norway

USD 1,175,000 DNB BANK ASA MEDIUM TERM NOTE FIXED 2.150% 02/12/22 1,174,709.36 1,192,544.96 0.12% Total Norway 1,174,709.36 1,192,544.96 0.12% Saudi Arabia

USD 1,821,000 SAUDI ARABIAN OIL CO MEDIUM TERM NOTE FIXED 2.750% 16/04/22 1,831,346.13 1,833,462.92 0.19%

Total Saudi Arabia 1,831,346.13 1,833,462.92 0.19% Singapore

USD 1,037,000 DBS GROUP HOLDINGS LTD MEDIUM TERM NOTE FIXED 2.850% 16/04/22 1,044,086.54 1,042,641.28 0.11%

USD 1,050,000 TEMASEK FINANCIAL I LTD CALLABLE NOTES FIXED 2.375% 23/01/23 1,069,506.70 1,067,723.67 0.11%

Total Singapore 2,113,593.24 2,110,364.95 0.22% South Korea

USD 1,000,000 EXPORT-IMPORT BANK OF KOREA BOND VARIABLE 05/07/22 1,003,330.33 1,003,390.00 0.10% USD 7,000,000 KOOKMIN BANK MEDIUM TERM NOTE FIXED 0.460% 22/02/22 7,000,000.00 6,998,808.95 0.73% USD 4,110,000 KOREA DEVELOPMENT BANK/THE NOTES FIXED 3.000%

14/09/2022 4,186,269.29 4,174,724.73 0.43% USD 3,012,000 KOREA DEVELOPMENT BANK/THE NOTES VARIABLE 27/02/22 3,014,852.73 3,014,697.46 0.31% USD 1,330,000 KT CORP NOTES FIXED 2.625% 07/08/22 1,346,811.54 1,343,821.31 0.14%

Total South Korea 16,551,263.89 16,535,442.45 1.71%





87


Cost USD

Market Value

USD


Spain

USD 2,800,000 BANCO SANTANDER SA CALLABLE NOTES VARIABLE 30/06/24 2,800,000.00 2,786,180.54 0.29% Total Spain 2,800,000.00 2,786,180.54 0.29% Sweden

USD 685,000 SKANDINAVISKA ENSKILDA BANKEN AB MEDIUM TERM NOTE 3.050% 25/03/22 689,219.74 688,633.93 0.07%

USD 1,541,000 SVENSKA HANDELSBANKEN AB NOTES FIXED 0.625% 30/06/23 1,538,335.19 1,537,179.72 0.16% Total Sweden 2,227,554.93 2,225,813.65 0.23% Switzerland

USD 4,681,000 CREDIT SUISSE AG/NEW YORK NY MEDIUM TERM NOTE 0.520% 09/08/2023 4,681,000.00 4,652,472.58 0.48%

USD 1,034,000 CREDIT SUISSE AG/NEW YORK NY MEDIUM TERM NOTE 2.800% 08/04/22 1,038,139.03 1,040,399.77 0.11%

USD 1,042,000 CREDIT SUISSE AG/NEW YORK NY NOTES FIXED 1.000% 05/05/23 1,040,914.65 1,045,060.08 0.11% USD 2,622,000 CREDIT SUISSE AG/NEW YORK NY NOTES VARIABLE 02/02/24 2,622,000.00 2,615,691.28 0.27% USD 1,475,000 NESTLE HOLDINGS INC MEDIUM TERM NOTE FIXED 2.375%

18/01/22 1,476,452.15 1,475,705.05 0.15% USD 4,982,000 NOVARTIS CAPITAL CORP CALLABLE NOTES FIXED 2.400%

21/09/22 5,054,976.58 5,058,438.93 0.52% USD 3,133,000 UBS AG/LONDON NOTES FIXED 0.375% 01/06/23 3,130,651.34 3,109,610.68 0.32% USD 6,400,000 UBS AG/LONDON NOTES VARIABLE 0.500% 09/08/2024 6,400,000.00 6,408,048.00 0.66% USD 2,671,000 UBS GROUP AG CALLABLE NOTES VARIABLE 15/08/23 2,724,366.16 2,703,640.34 0.28%

Total Switzerland 28,168,499.91 28,109,066.71 2.90% The Netherlands

USD 2,001,000 COOPERATIEVE RABOBANK UA/NY MEDIUM TERM NOTE VARIABLE 12/01/24 2,001,000.00 2,000,740.43 0.21%

USD 1,000,000 COOPERATIEVE RABOBANK UA MEDIUM TERM NOTE VARIABLE 26/09/23 1,010,440.67 1,008,298.74 0.10%

USD 7,965,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV CALLABLE 2.900% 27/05/22 8,046,812.56 8,043,333.47 0.83%

Total The Netherlands 11,058,253.23 11,052,372.64 1.14% United Kingdom

USD 1,009,000 BARCLAYS BANK PLC CALLABLE NOTES FIXED 1.700% 12/05/22 1,008,851.50 1,012,525.50 0.10% USD 4,640,000 BP CAPITAL MARKETS AMERICA INC CALLABLE NOTES 2.750%

10/05/2023 4,776,969.64 4,756,617.44 0.49% USD 2,534,000 BP CAPITAL MARKETS PLC MEDIUM TERM NOTE FIXED 3.643%

14/05/23 2,635,628.83 2,623,854.88 0.27% USD 935,000 DIAGEO INVESTMENT CORP CALLABLE NOTES FIXED 2.875%

11/05/22 943,470.98 943,093.87 0.10% USD 1,840,000 GLAXOSMITHKLINE CAPITAL INC CALLABLE NOTES FIXED

3.375% 15/05/23 1,912,830.70 1,906,137.55 0.20% USD 8,800,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 13/03/23 8,936,638.98 8,842,639.61 0.90% USD 2,389,000 NATIONWIDE BUILDING SOCIETY MEDIUM TERM NOTE FIXED

2.000% 27/01/23 2,430,237.70 2,420,573.02 0.25% USD 8,200,000 NATWEST MARKETS PLC MEDIUM TERM NOTE FIXED 3.625%

29/09/22 8,392,193.80 8,384,200.70 0.87% USD 2,283,000 NATWEST MARKETS PLC NOTES FIXED 2.375% 21/05/2023 2,343,606.15 2,327,275.61 0.24% USD 3,520,000 RECKITT BENCKISER TREASURY SERVICES PLC CALLABLE

2.375% 24/06/22 3,552,017.12 3,546,382.33 0.37% USD 4,953,000 SANTANDER UK PLC NOTES FIXED 2.100% 13/01/23 5,037,634.58 5,025,152.93 0.52%

Total United Kingdom 41,970,079.98 41,788,453.44 4.31%





88


Cost USD

Market Value

USD


United States of America

USD 6,703,000 ABB FINANCE USA INC CALLABLE NOTES FIXED 2.875% 08/05/22 6,763,828.80 6,757,980.49 0.70% USD 3,054,000 ABBOTT LABORATORIES CALLABLE NOTES FIXED 2.550% 15/03/22 3,067,375.36 3,067,649.27 0.32% USD 5,186,000 AIG GLOBAL FUNDING MEDIUM TERM NOTE FIXED 0.400%

13/09/2023 5,184,418.48 5,126,094.18 0.53% USD 2,698,000 AIG GLOBAL FUNDING MEDIUM TERM NOTE FIXED 2.300%

01/07/22 2,724,742.08 2,719,978.72 0.28% USD 578,000 AIG GLOBAL FUNDING NOTES FIXED USD 0.800% 07/07/23 577,776.03 577,265.15 0.06% USD 7,474,000 AIR PRODUCTS AND CHEMICALS INC CALLABLE NOTES 2.750%

03/02/23 7,671,032.18 7,637,851.31 0.79% USD 9,183,000 ALABAMA POWER CO CALLABLE NOTES FIXED 2.450% 30/03/22 9,226,481.40 9,213,133.46 0.95% USD 1,546,000 ALABAMA POWER CO CALLABLE NOTES FIXED 5.875% 01/12/2022 1,621,666.69 1,617,891.20 0.17% USD 830,000 AMAZON.COM INC CALLABLE NOTES FIXED 0.400% 03/06/23 829,450.65 827,490.06 0.09% USD 1,674,000 AMAZON.COM INC CALLABLE NOTES FIXED 2.500% 29/11/22 1,700,747.84 1,699,395.17 0.18% USD 4,600,000 AMERICAN EXPRESS CREDIT CORP CALLABLE MEDIUM TERM

2.700% 03/03/22 4,617,902.19 4,608,144.39 0.48% USD 917,000 AMERICAN EXPRESS CREDIT CORP CALLABLE MEDIUM TERM

3.021% 03/03/22 917,740.41 917,235.47 0.09% USD 840,000 AMERICAN HONDA FINANCE CORP CALLABLE MEDIUM TERM

1.950% 20/05/2022 845,783.17 844,935.50 0.09% USD 2,402,000 AMERICAN HONDA FINANCE CORP MEDIUM TERM NOTE 0.671%

15/02/22 2,403,013.15 2,403,156.27 0.25% USD 1,212,000 AMERICAN HONDA FINANCE CORP MEDIUM TERM NOTE

VARIABLE 10/05/23 1,215,068.93 1,214,213.80 0.13% USD 5,865,000 AMERICAN HONDA FINANCE CORP MEDIUM TERM NOTE

VARIABLE 22/02/23 5,865,000.00 5,865,950.25 0.61% USD 664,000 APPLE INC CALLABLE NOTES FIXED 0.750% 11/05/23 663,186.12 666,068.91 0.07% USD 1,060,000 APPLE INC CALLABLE NOTES FIXED 2.400% 03/05/23 1,088,898.19 1,085,716.12 0.11% USD 2,765,000 APPLE INC CALLABLE NOTES FIXED 2.850% 23/02/2023 2,833,711.43 2,823,674.35 0.29% USD 9,054,000 APPLE INC NOTES VARIABLE USD 1000 2.401% 09/02/22 9,058,618.60 9,058,234.47 0.93% USD 3,672,000 ATHENE GLOBAL FUNDING MEDIUM TERM NOTE FIXED 0.950%

08/01/24 3,671,135.24 3,651,011.95 0.38% USD 1,425,000 ATHENE GLOBAL FUNDING MEDIUM TERM NOTE FIXED 2.800%

26/05/23 1,465,362.56 1,460,033.78 0.15% USD 2,350,000 ATHENE GLOBAL FUNDING MEDIUM TERM NOTE VARIABLE

24/05/24 2,350,000.00 2,355,549.22 0.24% USD 1,651,000 ATHENE GLOBAL FUNDING NOTES FIXED 3.000% 01/07/2022 1,673,117.05 1,667,239.70 0.17% USD 4,720,000 ATHENE GLOBAL FUNDING NOTES VARIABLE 01/07/22 4,742,062.95 4,745,771.72 0.49% USD 5,013,000 ATMOS ENERGY CORP CALLABLE NOTES FIXED 0.625% 09/03/23 5,013,149.38 5,003,051.55 0.52% USD 7,423,000 ATMOS ENERGY CORP CALLABLE NOTES VARIABLE 09/03/23 7,423,526.09 7,424,779.44 0.77% USD 3,397,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE

VARIABLE 21/07/23 3,463,684.01 3,435,246.69 0.35% USD 4,017,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE

VARIABLE 24/04/23 4,080,225.61 4,043,664.97 0.42% USD 296,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE

VARIABLE 28/05/24 296,000.00 296,149.48 0.03% USD 1,800,000 BANK OF AMERICA CORP CALLABLE NOTES VARIABLE 1.215%

24/04/23 1,806,574.32 1,804,281.97 0.19% USD 1,350,000 BANK OF AMERICA CORP MEDIUM TERM NOTE FIXED 3.300%

11/01/2023 1,388,105.97 1,387,475.39 0.14% USD 1,003,000 BANK OF AMERICA CORP MEDIUM TERM NOTE FIXED 4.100%

24/07/23 1,056,940.09 1,054,382.61 0.11% USD 2,000,000 BANK OF NEW YORK MELLON CORP/THE CALLABLE MEDIUM

2.200% 16/08/23 2,054,342.32 2,044,293.50 0.21% USD 1,369,000 BANK OF NEW YORK MELLON CORP/THE CALLABLE MEDIUM

2.950% 29/01/23 1,404,942.73 1,399,685.40 0.14% USD 985,000 BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MEDIUM TERM

0.600% 28/06/23 984,883.04 980,423.86 0.10% USD 2,309,000 BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MEDIUM TERM

1.000% 12/04/24 2,306,117.43 2,290,649.89 0.24% USD 2,534,000 BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MEDIUM TERM

1.200% 15/12/2023 2,532,795.49 2,534,645.74 0.26% USD 4,680,000 BRISTOL-MYERS SQUIBB CO CALLABLE NOTES FIXED 0.537%

13/11/23 4,680,000.00 4,659,191.41 0.48%





89


Cost USD

Market Value

USD


USD 2,875,000 BRISTOL-MYERS SQUIBB CO CALLABLE NOTES FIXED 2.750%

15/02/23 2,946,236.57 2,940,788.02 0.30% USD 1,964,000 BRISTOL-MYERS SQUIBB CO CALLABLE NOTES FIXED 3.550%

15/08/2022 2,002,546.48 2,001,705.54 0.21% USD 720,000 CATERPILLAR FINANCIAL SERVICES CORP CALLABLE 1.900%

06/09/22 719,772.17 727,663.02 0.08% USD 789,000 CATERPILLAR FINANCIAL SERVICES CORP MEDIUM TERM 0.731%


01/03/23 943,630.72 940,347.22 0.10% USD 884,000 CENTERPOINT ENERGY HOUSTON ELECTRIC LLC CALLABLE

2.250% 01/08/22 892,319.98 889,327.26 0.09% USD 3,693,000 CENTERPOINT ENERGY HOUSTON ELECTRIC LLC CALLABLE

5.600% 01/07/23 3,975,307.29 3,938,638.75 0.41% USD 1,784,000 CHARLES SCHWAB CORP/THE CALLABLE NOTES VARIABLE

18/03/24 1,784,000.00 1,790,110.09 0.18% USD 4,635,000 CHEVRON CORP CALLABLE NOTES FIXED 2.355% 05/12/2022 4,699,772.15 4,694,632.15 0.48% USD 1,000,000 CHEVRON CORP CALLABLE NOTES FIXED 2.411% 03/03/22 1,003,199.51 1,001,503.41 0.10% USD 2,162,000 CHEVRON CORP CALLABLE NOTES FIXED 2.498% 03/03/22 2,169,630.03 2,165,989.17 0.22% USD 2,142,000 CHEVRON CORP NOTES VARIABLE 0.762% 03/03/22 2,143,656.33 2,143,443.28 0.22% USD 989,000 CHUBB INA HOLDINGS INC CALLABLE NOTES FIXED 2.875%

03/11/22 1,007,181.06 1,004,459.66 0.10% USD 2,796,000 COLGATE-PALMOLIVE CO CALLABLE MEDIUM TERM NOTE

2.250% 15/11/2022 2,842,428.85 2,838,527.55 0.29% USD 3,935,000 DUKE ENERGY CAROLINAS LLC CALLABLE BOND FIXED 3.350%

15/05/22 3,978,790.63 3,977,605.15 0.41% USD 832,000 DUKE ENERGY PROGRESS LLC CALLABLE BOND FIXED 2.800%

15/05/22 838,314.63 834,297.34 0.09% USD 2,482,000 ENTERGY ARKANSAS LLC CALLABLE BOND FIXED 3.050%

01/06/2023 2,559,283.75 2,548,573.72 0.26% USD 1,722,000 ENTERGY LOUISIANA LLC CALLABLE BOND FIXED 0.620%

17/11/23 1,721,804.92 1,708,470.21 0.18% USD 3,728,000 ENTERGY LOUISIANA LLC CALLABLE BOND FIXED 3.300%

01/12/22 3,805,982.54 3,788,810.61 0.39% USD 6,931,000 EQUITABLE FINANCIAL LIFE GLOBAL FUNDING MEDIUM 0.500%

06/04/23 6,928,901.67 6,900,594.05 0.71% USD 4,187,000 EQUITABLE FINANCIAL LIFE GLOBAL FUNDING MEDIUM 0.800%

12/08/2024 4,186,671.33 4,124,364.53 0.43% USD 3,230,000 EXXON MOBIL CORP CALLABLE NOTES FIXED 1.571% 15/04/23 3,275,054.48 3,268,284.71 0.34% USD 9,496,000 EXXON MOBIL CORP CALLABLE NOTES FIXED 2.397% 06/03/22 9,526,451.52 9,496,798.14 0.98% USD 1,042,000 EXXON MOBIL CORP CALLABLE NOTES FIXED 2.726% 01/03/23 1,068,002.17 1,064,130.11 0.11% USD 2,204,000 FEDERAL HOME LOAN MORTGAGE CORP NOTES FIXED 0.125%

25/07/22 2,202,602.29 2,203,034.30 0.23% USD 2,172,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION NOTES FIXED

0.250% 10/07/23 2,169,630.63 2,160,664.25 0.22% USD 1,095,000 FIFTH THIRD BANK NA MEDIUM TERM NOTE VARIABLE 1.327%

01/02/22 1,095,407.46 1,095,000.00 0.11% USD 2,517,000 GILEAD SCIENCES INC CALLABLE NOTES FIXED 3.250% 01/09/22 2,560,096.50 2,551,436.06 0.26% USD 557,000 GUARDIAN LIFE GLOBAL FUNDING MEDIUM TERM NOTE 3.400%

25/04/23 578,189.60 576,145.80 0.05% USD 9,757,000 GUARDIAN LIFE GLOBAL FUNDING NOTES FIXED 2.500% 08/05/22 9,828,443.70 9,824,967.26 0.98% USD 1,790,000 HOME DEPOT INC/THE NOTES VARIABLE USD 2.217% 01/03/22 1,790,318.30 1,790,608.64 0.18% USD 3,082,000 HUNTINGTON NATIONAL BANK/THE CALLABLE NOTES FIXED

3.125% 01/04/22 3,099,212.64 3,094,984.13 0.32% USD 1,614,000 INTEL CORP CALLABLE NOTES FIXED 2.350% 11/05/22 1,624,648.71 1,622,997.99 0.17% USD 1,418,000 INTEL CORP CALLABLE NOTES FIXED 3.100% 29/07/22 1,440,560.08 1,440,353.61 0.15% USD 6,054,000 JACKSON NATIONAL LIFE GLOBAL FUNDING MEDIUM TERM

3.300% 01/02/22 6,069,674.08 6,068,220.66 0.63% USD 2,041,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE FIXED 0.250%

17/01/23 2,040,602.85 2,036,822.95 0.21% USD 1,564,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE FIXED 2.750%

15/03/22 1,571,762.23 1,571,799.62 0.16% USD 1,877,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE VARIABLE

0.605% 07/03/22 1,877,811.62 1,878,163.25 0.19% USD 706,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE VARIABLE

07/06/23 710,443.90 710,452.25 0.07%





90


Cost USD

Market Value

USD


USD 3,878,000 KEYBANK NA/CLEVELAND OH CALLABLE MEDIUM TERM NOTE

VARIABLE 14/06/24 3,878,000.00 3,851,344.80 0.40% USD 648,000 KEYBANK NA/CLEVELAND OH MEDIUM TERM NOTE FIXED

2.400% 09/06/2022 654,248.80 653,790.94 0.07% USD 3,649,000 KEYBANK NA/CLEVELAND OH MEDIUM TERM NOTE FIXED

3.300% 01/02/22 3,658,729.72 3,657,464.15 0.38% USD 1,750,000 KEYBANK NA/CLEVELAND OH MEDIUM TERM NOTE FIXED

3.375% 07/03/2023 1,810,100.84 1,804,474.47 0.19% USD 4,230,000 LINDE INC/CT CALLABLE NOTES FIXED 2.200% 15/08/2022 4,261,705.04 4,257,519.41 0.44% USD 2,540,000 MANUFACTURERS & TRADERS TRUST CO NOTES VARIABLE

18/05/22 2,545,958.15 2,545,275.12 0.26% USD 944,000 MASSMUTUAL GLOBAL FUNDING II MEDIUM TERM NOTE 0.480%

28/08/23 944,000.00 939,065.71 0.10% USD 2,052,000 MASSMUTUAL GLOBAL FUNDING II MEDIUM TERM NOTE 0.850%

09/06/23 2,053,152.38 2,055,131.19 0.21% USD 8,420,000 MASSMUTUAL GLOBAL FUNDING II MEDIUM TERM NOTE 1.537%

07/01/22 8,420,061.07 8,420,139.27 0.87% USD 1,500,000 MASSMUTUAL GLOBAL FUNDING II NOTES FIXED 2.500% 13/04/22 1,509,086.15 1,509,079.65 0.16% USD 1,119,000 MERCK & CO INC CALLABLE NOTES FIXED 2.350% 10/02/22 1,121,642.98 1,121,475.73 0.12% USD 833,000 MERCK & CO INC CALLABLE NOTES FIXED 2.400% 15/09/2022 842,835.41 840,425.18 0.09% USD 843,000 METROPOLITAN LIFE GLOBAL FUNDING I MEDIUM TERM 0.900%

08/06/23 845,898.69 845,599.29 0.09% USD 2,155,000 METROPOLITAN LIFE GLOBAL FUNDING I MEDIUM TERM 2.400%

17/06/2022 2,177,082.40 2,175,309.11 0.22% USD 1,611,000 METROPOLITAN LIFE GLOBAL FUNDING I NOTES FIXED 3.875%

11/04/22 1,626,008.09 1,626,162.01 0.17% USD 1,801,000 MICROSOFT CORP CALLABLE NOTES FIXED 2.375% 12/02/22 1,805,081.78 1,801,861.53 0.19% USD 5,701,000 MICROSOFT CORP CALLABLE NOTES FIXED 2.400% 06/02/22 5,712,701.81 5,702,046.93 0.59% USD 5,504,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP

1.750% 21/01/22 5,508,762.27 5,507,913.78 0.57% USD 2,100,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP

2.300% 15/09/22 2,126,860.69 2,123,022.05 0.22% USD 819,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP

2.400% 25/04/22 823,595.08 822,936.98 0.08% USD 295,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP

2.700% 15/02/23 302,185.96 300,527.03 0.03% USD 3,076,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP

VARIABLE 16/02/23 3,076,000.00 3,070,391.93 0.32% USD 2,918,000 NATIONAL SECURITIES CLEARING CORP CALLABLE NOTES

1.200% 23/04/23 2,946,237.85 2,938,996.03 0.30% USD 2,526,000 NEW YORK LIFE GLOBAL FUNDING MEDIUM TERM NOTE 0.000%

30/06/2023 2,526,000.00 2,524,296.79 0.26% USD 1,761,000 NEW YORK LIFE GLOBAL FUNDING MEDIUM TERM NOTE 0.400%



21/01/22 9,696,941.95 9,696,817.76 1.00% USD 3,500,000 NEW YORK LIFE GLOBAL FUNDING NOTES VARIABLE 02/02/23 3,500,000.00 3,502,201.82 0.36% USD 7,127,000 NSTAR ELECTRIC CO CALLABLE BOND FIXED 2.375% 15/01/21 7,211,189.60 7,199,308.40 0.74% USD 4,238,000 OKLAHOMA GAS AND ELECTRIC CO CALLABLE NOTES FIXED

0.553% 26/05/23 4,238,293.82 4,214,989.69 0.43% USD 835,000 OKLAHOMA GAS AND ELECTRIC CO CALLABLE NOTES FIXED

0.553% 26/05/23 831,656.26 830,466.35 0.09% USD 766,000 ONCOR ELECTRIC DELIVERY CO LLC CALLABLE NOTES 4.100%

01/06/2022 771,152.26 770,621.21 0.08% USD 5,080,000 PACIFICORP CALLABLE BOND FIXED 2.950% 01/06/23 5,240,560.62 5,203,028.66 0.54% USD 1,447,000 PEPSICO INC CALLABLE NOTES FIXED 2.750% 05/03/22 1,453,228.16 1,453,382.76 0.15% USD 1,500,000 PFIZER INC CALLABLE NOTES FIXED 3.200% 15/09/23 1,569,299.41 1,559,781.06 0.16% USD 3,885,000 PHILIP MORRIS INTERNATIONAL INC CALLABLE NOTES 1.125%

01/05/23 3,917,601.22 3,903,302.70 0.40% USD 532,000 PHILIP MORRIS INTERNATIONAL INC CALLABLE NOTES 2.500%

02/11/22 541,299.97 539,778.67 0.06% USD 2,259,000 PHILIP MORRIS INTERNATIONAL INC CALLABLE NOTES 2.625%

18/02/22 2,265,672.22 2,261,183.30 0.23%





91


Cost USD

Market Value

USD


USD 829,000 PHILIP MORRIS INTERNATIONAL INC NOTES FIXED 2.500%

22/08/22 840,331.45 839,651.10 0.09% USD 270,000 PNC BANK NA CALLABLE MEDIUM TERM NOTE FIXED 3.500%

08/06/23 281,256.81 280,258.15 0.03% USD 1,625,000 PNC BANK NA CALLABLE NOTES FIXED 2.625% 17/02/22 1,629,671.94 1,627,698.07 0.17% USD 8,193,000 PNC BANK NA CALLABLE NOTES FIXED 2.875% 29/06/2022 8,289,556.49 8,277,397.90 0.85% USD 950,000 PNC BANK NA NOTES VARIABLE 0.717% 27/07/22 952,280.72 951,701.54 0.10% USD 3,414,000 PPL ELECTRIC UTILITIES CORP CALLABLE BOND FIXED 2.500%

01/09/22 3,453,966.76 3,441,824.17 0.36% USD 2,943,000 PPL ELECTRIC UTILITIES CORP CALLABLE BOND VARIABLE

0.501% 28/09/23 2,943,000.00 2,936,241.52 0.30% USD 2,120,000 PRECISION CASTPARTS CORP CALLABLE NOTES FIXED 2.500%

15/01/23 2,161,788.71 2,151,888.26 0.22% USD 2,167,000 PRICOA GLOBAL FUNDING I NOTES FIXED 2.450% 21/09/2022 2,199,696.27 2,198,957.07 0.23% USD 1,355,000 PRINCIPAL LIFE GLOBAL FUNDING II MEDIUM TERM NOTE

1.250% 11/05/23 1,354,446.86 1,363,299.20 0.14% USD 3,145,000 PROCTER & GAMBLE CO/THE CALLABLE NOTES FIXED 2.300%

06/02/22 3,151,587.34 3,151,194.64 0.33% USD 6,518,000 PROTECTIVE LIFE GLOBAL FUNDING MEDIUM TERM NOTE

0.327% 09/12/22 6,518,000.00 6,494,325.84 0.67% USD 2,730,000 PROTECTIVE LIFE GLOBAL FUNDING MEDIUM TERM NOTE



2.294% 15/04/22 2,316,742.90 2,317,092.29 0.24% USD 1,240,000 PUBLIC SERVICE ELECTRIC AND GAS CO CALLABLE MEDIUM

2.375% 15/05/2023 1,270,238.19 1,262,650.35 0.13% USD 3,028,000 RELIANCE STANDARD LIFE GLOBAL FUNDING II CALLABLE

2.150% 21/01/23 3,078,174.09 3,070,216.95 0.32% USD 7,320,000 RELIANCE STANDARD LIFE GLOBAL FUNDING II CALLABLE

2.625% 22/07/22 7,405,364.55 7,408,659.47 0.76% USD 6,337,000 STATE STREET CORP CALLABLE NOTES VARIABLE 2.825%

30/03/23 6,436,658.88 6,370,306.70 0.66% USD 910,000 SUNTRUST BANK/ATLANTA GA CALLABLE MEDIUM TERM NOTE

2.800% 17/05/2022 917,957.77 916,764.53 0.09% USD 1,440,000 TARGET CORP CALLABLE NOTES FIXED 2.900% 15/01/22 1,441,555.71 1,441,292.99 0.15% USD 787,000 TOYOTA MOTOR CREDIT CORP CALLABLE MEDIUM TERM NOTE

2.150% 08/09/2022 797,501.03 795,970.26 0.08% USD 571,000 TOYOTA MOTOR CREDIT CORP CALLABLE MEDIUM TERM NOTE

2.600% 11/01/22 571,387.58 571,277.88 0.06% USD 1,280,000 TOYOTA MOTOR CREDIT CORP CALLABLE MEDIUM TERM NOTE

2.625% 10/01/23 1,308,498.33 1,305,794.62 0.13% USD 2,272,000 TOYOTA MOTOR CREDIT CORP MEDIUM TERM NOTE FIXED

0.400% 06/04/2023 2,274,404.76 2,267,059.90 0.23% USD 2,765,000 TOYOTA MOTOR CREDIT CORP MEDIUM TERM NOTE FIXED

0.450% 22/07/22 2,768,583.73 2,765,788.63 0.29% USD 1,418,000 TOYOTA MOTOR CREDIT CORP MEDIUM TERM NOTE VARIABLE



11/01/24 2,607,000.00 2,607,544.50 0.27% USD 392,000 TRUIST BANK CALLABLE MEDIUM TERM NOTE FIXED 1.250%

09/03/23 395,757.21 394,267.74 0.04% USD 882,000 TRUIST FINANCIAL CORP CALLABLE MEDIUM TERM NOTE 2.200%

16/03/23 898,572.60 897,149.51 0.09% USD 7,076,000 US BANK NA/CINCINNATI OH CALLABLE MEDIUM TERM NOTE

0.653% 23/05/22 7,085,877.73 7,083,708.74 0.73% USD 3,380,000 US BANK NA/CINCINNATI OH CALLABLE MEDIUM TERM NOTE

3.400% 24/07/23 3,531,235.23 3,516,115.64 0.36% Total United States of America 422,978,540.40 421,978,330.45 43.53% Total Bonds 700,539,293.11 698,967,151.46 72.12%





92


Cost USD

Market Value

USD


Government bonds United States of America

USD 7,900,000 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/01/23 7,897,957.32 7,874,078.13 0.81% USD 1,370,000 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/05/22 1,369,780.29 1,370,028.40 0.14% USD 16,100,000 UNITED STATES OF AMERICA NOTES FIXED 0.250% 15/04/2023 16,110,909.23 16,049,058.63 1.66% USD 22,585,000 UNITED STATES OF AMERICA NOTES FIXED 1.125% 28/02/22 22,603,807.13 22,624,745.31 2.33% USD 22,990,000 UNITED STATES OF AMERICA NOTES FIXED 1.375% 15/02/23 23,267,209.22 23,236,064.73 2.40% USD 21,100,000 UNITED STATES OF AMERICA NOTES FIXED 1.875% 31/08/2022 21,350,727.31 21,328,189.96 2.20%

Total United States of America 92,600,390.50 92,482,165.16 9.54% Total Government bonds 92,600,390.50 92,482,165.16 9.54% Certificate of deposit Canada

USD 2,245,000 BANK OF NOVA SCOTIA/HOUSTON CERTIFICATE OF DEPOSIT 0.220% 25/02/22 2,245,000.00 2,245,298.36 0.23%

USD 4,000,000 BANK OF NOVA SCOTIA CERTIFICATE OF DEPOSIT FIXED 0.200% 21/07/2022 3,999,999.92 3,996,886.40 0.41%

Total Canada 6,244,999.92 6,242,184.76 0.64% Finland

USD 2,507,000 NORDEA BANK ABP/NEW YORK NY CERTIFICATE OF DEPOSIT 1.117% 28/01/22 2,507,000.00 2,507,484.10 0.26%

Total Finland 2,507,000.00 2,507,484.10 0.26% Japan

USD 4,300,000 SUMITOMO MITSUI BANKING CORP/NEW YORK CERTIFICATE 0.230% 02/08/2022 4,300,000.00 4,299,435.50 0.44%

Total Japan 4,300,000.00 4,299,435.50 0.44% South Korea

USD 5,371,000 WOORI BANK/LOS ANGELES CERTIFICATE OF DEPOSIT 0.435% 31/01/22 5,371,000.00 5,371,534.41 0.55%

Total South Korea 5,371,000.00 5,371,534.41 0.55% Switzerland

USD 465,000 UBS AG/STAMFORD CT CERTIFICATE OF DEPOSIT FIXED 0.455% 02/12/22 465,000.00 465,561.58 0.05%

Total Switzerland 465,000.00 465,561.58 0.05% United Kingdom

USD 7,160,000 QATAR NATIONAL BANK (Q.P.S.C.) CERTIFICATE OF 0.000% 02/02/22 7,156,881.99 7,158,992.59 0.74%

USD 8,510,000 QATAR NATIONAL BANK QPSC/LONDON CERTIFICATE OF 0.000% 11/01/22 8,508,759.47 8,509,602.92 0.88%






93


Cost USD

Market Value

USD



USD 4,430,000 CANADIAN IMPERIAL BK CERTIFICATE OF DEPOSIT FIXED 0.210% 16/05/22 4,429,999.88 4,429,455.69 0.46%

USD 7,110,000 GOLDMAN SACHS BANK USA/NEW YORK NY CERTIFICATE OF 0.210% 09/09/2022 7,110,000.00 7,101,814.61 0.73%

USD 3,998,000 LLOYDS BANK CORPORATE CERTIFICATE OF DEPOSIT FIXED 0.220% 03/08/2022 3,998,000.00 3,994,808.72 0.41%

USD 5,000,000 MUFG BANK LTD NY BRAN CERTIFICATE OF DEPOSIT FIXED 0.230% 26/07/2022 5,000,286.70 4,996,645.55 0.52%

USD 7,000,000 NORDEA BK ABP NY CERTIFICATE OF DEPOSIT FIXED DTD 0.190% 24/06/2022 6,999,999.13 7,000,985.60 0.72%

USD 3,100,000 NORDEA BK ABP NY CERTIFICATE OF DEPOSIT FIXED DTD 0.200% 01/07/2022 3,100,155.96 3,100,469.34 0.32%

USD 927,000 SHINHAN BNK NY BRCH CERTIFICATE OF DEPOSIT FIXED 0.440% 10/01/22 927,000.00 927,063.04 0.10%

Total United States of America 31,565,441.67 31,551,242.55 3.26% Total Certificate of deposit 66,119,083.05 66,106,038.41 6.82% Money market Australia

USD 2,500,000 MACQUARIE BANK LIMITED CORPORATE COMMERCIAL PAPER 0.000% 13/05/22 2,497,710.14 2,497,247.50 0.26%

Total Australia 2,497,710.14 2,497,247.50 0.26% Canada

USD 5,000,000 NATIONAL BK OF CANADA CORPORATE COMMERCIAL PAPER 0.000% 16/05/22 4,996,044.44 4,995,140.00 0.52%

Total Canada 4,996,044.44 4,995,140.00 0.52% Chile

USD 2,000,000 BANCO DEL ESTA DE CHLE CORPORATE COMMERCIAL PAPER 0.000% 08/08/2022 1,996,944.58 1,995,948.34 0.21%

Total Chile 1,996,944.58 1,995,948.34 0.21% United Arab Emirates

USD 1,100,000 FIRST ABU DHABI BANK CORPORATE COMMERCIAL PAPER 0.000% 29/06/26 1,098,625.12 1,098,252.34 0.11%

Total United Arab Emirates 1,098,625.12 1,098,252.34 0.11% United Kingdom

USD 1,724,000 BARCLAYS BANK PLC & BA CORPORATE COMMERCIAL PAPER 0.000% 09/02/22 1,723,433.32 1,723,750.64 0.18%

USD 1,900,000 BARCLAYS BANK PLC & BA CORPORATE COMMERCIAL PAPER 0.000% 10/02/22 1,899,359.78 1,899,549.70 0.20%

USD 1,026,000 BP CAPITAL MARKETS PLC CORPORATE COMMERCIAL PAPER 0.000% 11/01/22 1,025,906.44 1,025,958.62 0.11%

USD 6,132,000 GOLDMAN SACHS INT CORPORATE COMMERCIAL PAPER 0.000% 12/01/22 6,131,321.97 6,131,527.84 0.62%






94


Cost USD

Market Value

USD



USD 4,514,000 AT&T INC. CORPORATE COMMERCIAL PAPER DISCOUNT DTD 0.000% 14/06/2022 4,502,889.25 4,503,571.89 0.46%

USD 2,849,000 BOFA SECURITIES INC CORPORATE COMMERCIAL PAPER 0.000% 13/10/2022 2,838,397.49 2,839,937.56 0.29%

USD 10,680,000 CITIGROUP GBL MKTS INC CORPORATE COMMERCIAL PAPER 0.000% 03/10/2022 10,661,220.48 10,647,047.18 1.09%

USD 1,556,000 CITIGROUP GBL MKTS INC CORPORATE COMMERCIAL PAPER 0.000% 17/11/2022 1,550,450.31 1,549,695.35 0.16%

USD 10,000,000 DISNEY (WALT) CO, THE CORPORATE COMMERCIAL PAPER 0.000% 16/05/2022 9,992,444.52 9,988,773.60 1.03%

USD 2,346,000 ENEL FINANCE AMERICA CORPORATE COMMERCIAL PAPER 0.000% 03/10/2022 2,338,922.04 2,340,062.27 0.24%



USD 438,000 ENI FINANCE USA INC. CORPORATE COMMERCIAL PAPER 0.000% 28/02/22 437,682.29 437,784.65 0.05%

USD 5,000,000 HSBC USA INC CORPORATE COMMERCIAL PAPER DISCOUNT 0.000% 01/04/22 4,995,966.72 4,995,693.90 0.52%

USD 5,080,000 PARKER-HANNIFIN CORP CORPORATE COMMERCIAL PAPER 0.000% 27/01/2022 5,078,679.71 5,078,988.52 0.52%

USD 600,000 PUBLIC SEVC. ENT. GR CORPORATE COMMERCIAL PAPER 0.000% 19/01/2022 599,930.94 599,921.66 0.06%

USD 2,256,000 WASTE MANAGEMENT, INC. CORPORATE COMMERCIAL PAPER 0.000% 06/09/2022 2,251,318.80 2,248,401.66 0.23%

USD 3,958,000 WASTE MANAGEMENT, INC. CORPORATE COMMERCIAL PAPER 0.000% 08/09/2022 3,949,468.82 3,944,534.88 0.41%

USD 566,000 WASTE MANAGEMENT, INC. CORPORATE COMMERCIAL PAPER 0.000% 08/11/2022 563,310.30 563,318.03 0.06%

Total United States of America 53,787,956.72 53,761,675.62 5.54% Total Money market 75,157,302.51 75,129,050.60 7.75% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 934,416,069.17 932,684,405.63 96.23% Total investments 934,416,069.17 932,684,405.63 96.23%



95

Geographical classification of investments as at December 31, 2021 % of Net Assets

United States of America 61.87% United Kingdom 7.04% Japan 4.68% Canada 4.62% France 3.18% Switzerland 2.95% South Korea 2.26% Australia 2.17% Germany 1.84% Cayman Islands 1.38% The Netherlands 1.14% New Zealand 1.05% Netherlands Antilles 0.36% Finland 0.32% Spain 0.29% Sweden 0.23% Singapore 0.22% Chile 0.21% Saudi Arabia 0.19% Norway 0.12% United Arab Emirates 0.11%

Total 96.23%



96

Economic classification of investments as at December 31, 2021

% of Net Assets

Banks 35.64% Insurance 11.94% Sovereign 9.64% Electricity 7.56% Auto manufacturers 4.41% Diversified financial services 4.23% Oil and gas 3.56% Pharmaceuticals 2.08% Computers 1.40% Holding companies-diversified 1.38% Miscellaneous manufacture 1.35% Gas 1.29% Chemicals 1.23% Media 1.03% Machinery-construction and mining 0.96% Transportation 0.95% Agriculture 0.78% Software 0.78% Environmental control 0.70% Machinery-diversified 0.63% Cosmetics and personal care 0.62% Telecommunications 0.60% Household products and wares 0.37% Oil and gas services 0.36% Retail 0.33% Healthcare products 0.32% Semiconductors 0.32% Internet 0.27% Biotechnology 0.26% Beverages 0.25% Savings and loans 0.25% Metal Fabricate and Hardware 0.22% Auto parts and equipment 0.19% Food 0.15% Investment companies 0.11% Electrical components and equipment 0.07%

Total 96.23%




97

SANTAND ER LATIN AM ERICAN C ORPORA TE BOND SANTANDER LATIN AME RICAN CORPO RATE BOND




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds Argentina

USD 5,650,000 PAMPA ENERGIA SA CALLABLE NOTES FIXED 7.500% 24/01/27 5,855,103.15 4,886,120.00 1.35% USD 6,400,000 YPF SA CALLABLE BOND FIXED USD 8.500% 28/07/25 6,380,162.74 4,816,064.00 1.33%

Total Argentina 12,235,265.89 9,702,184.00 2.68% Bermuda

USD 3,000,000 SAGICOR FINANCIAL CO LTD CALLABLE NOTES FIXED 5.300% 13/05/28 3,000,000.00 3,079,485.00 0.85%

Total Bermuda 3,000,000.00 3,079,485.00 0.85% Brazil

USD 5,000,000 AEGEA FINANCE SARL CALLABLE NOTES FIXED 5.750% 10/10/24 5,128,058.70 5,141,525.00 1.42% USD 2,800,000 B3 SA - BRASIL BOLSA BALCAO CALLABLE NOTES FIXED 4.125%

20/09/2031 2,800,000.00 2,702,028.00 0.75% USD 2,050,000 BANCO DO ESTADO DO RIO GRANDE DO SUL SA BOND FIXED

7.375% 02/02/22 2,049,759.52 2,057,226.25 0.57% USD 1,200,000 BANCO DO ESTADO DO RIO GRANDE DO SUL SA CALLABLE

VARIABLE 28/01/31 1,200,000.00 1,168,272.00 0.32% USD 2,300,000 CSN INOVA VENTURES CALLABLE NOTES FIXED 6.750% 28/01/28 2,279,509.27 2,424,671.50 0.67% USD 500,000 CSN RESOURCES SA CALLABLE NOTES FIXED 4.625% 10/06/31 500,000.00 476,467.50 0.13% USD 5,800,000 IOCHPE-MAXION AUSTRIA GMBH / MAXION WHEELS DE 5.000%

07/05/28 5,724,050.73 5,685,218.00 1.57% USD 2,800,000 JBS INVESTMENTS II GMBH CALLABLE NOTES FIXED 5.750%

15/01/28 2,800,000.00 2,923,242.00 0.81% USD 6,750,000 JSM GLOBAL SARL CALLABLE NOTES FIXED 4.750% 20/10/30 6,749,882.59 6,228,360.00 1.72% USD 5,000,000 KLABIN AUSTRIA GMBH CALLABLE NOTES FIXED 5.750% 03/04/29 5,242,473.49 5,451,050.00 1.50% USD 4,000,000 LIGHT SERVICOS DE ELETRICIDADE SA/LIGHT ENERGIA SA

4.375% 18/06/26 4,000,000.00 3,998,600.00 1.10% USD 4,800,000 MC BRAZIL DOWNSTREAM TRADING SARL CALLABLE BOND

7.250% 30/06/2031 4,800,000.00 4,786,584.00 1.32% USD 3,300,000 MINERVA LUXEMBOURG SA CALLABLE NOTES FIXED 4.375%

18/03/31 3,268,386.38 3,144,322.50 0.87% USD 6,700,000 MOVIDA EUROPE SA NOTES 5.250% 08/02/2031 6,700,000.00 6,191,738.00 1.71% USD 5,890,837 PRUMO PARTICIPACOES E INVESTIMENTOS S/A CALLABLE

7.500% 31/12/31 6,017,636.60 6,346,552.35 1.75% USD 6,700,000 RUMO LUXEMBOURG SARL CALLABLE NOTES FIXED 4.200%

18/01/2032 6,673,366.56 6,331,500.00 1.75% USD 5,600,000 SUZANO AUSTRIA GMBH CALLABLE NOTES FIXED 5.000% 15/01/30 5,646,141.64 6,148,352.00 1.70% USD 5,500,000 USIMINAS INTERNATIONAL SARL CALLABLE NOTES FIXED

5.875% 18/07/26 5,211,967.26 5,698,440.00 1.57% USD 5,400,000 VOTORANTIM CIMENTOS SA CALLABLE NOTES FIXED 7.250%

05/04/41 6,138,570.81 7,054,938.00 1.92% Total Brazil 82,929,803.55 83,959,087.10 23.15% British Virgin Islands

USD 2,900,000 ARCOS DORADOS HOLDINGS INC CALLABLE NOTES FIXED 5.875% 04/04/27 2,952,347.04 3,002,747.00 0.83%

USD 2,339,000 GTL TRADE FINANCE INC CALLABLE NOTES FIXED 7.250% 16/04/44 2,597,642.30 3,125,979.94 0.86%

Total British Virgin Islands 5,549,989.34 6,128,726.94 1.69%





98


Cost USD

Market Value

USD


Canada

USD 5,000,000 FRONTERA ENERGY CORP CALLABLE NOTES FIXED 7.875% 21/06/28 4,969,551.91 4,688,950.00 1.29%

USD 4,000,000 ST MARYS CEMENT INC CANADA CALLABLE NOTES FIXED 5.750% 28/01/27 4,156,735.75 4,502,000.00 1.24%

Total Canada 9,126,287.66 9,190,950.00 2.53% Cayman Islands

USD 5,180,000 TERMOCANDELARIA POWER LTD CALLABLE NOTES FIXED 7.875% 30/01/29 5,510,698.91 5,190,541.30 1.43%

Total Cayman Islands 5,510,698.91 5,190,541.30 1.43% Chile

USD 3,700,000 AES GENER SA CALLABLE NOTES VARIABLE 6.350% 07/10/79 3,699,660.01 3,772,261.00 1.04% USD 1,400,000 BANCO DE CHILE CALLABLE NOTES FIXED 2.990% 09/12/2031 1,366,305.48 1,382,339.00 0.38% USD 8,700,000 CAP SA CALLABLE NOTES FIXED 3.900% 27/04/31 8,709,041.97 8,186,569.50 2.26% USD 0.00280 CELEO REDES OPERACION CHILE SA CALLABLE NOTES 5.200%

22/06/47 - - 0.00% USD 4,000,000 INTERCHILE SA CALLABLE NOTES FIXED 4.500% 30/06/2056 4,000,000.00 4,256,340.04 1.17% USD 4,000,000 INVERSIONES LATIN AMERICA POWER LTDA CALLABLE 5.125%

15/06/33 3,999,885.82 3,845,560.00 1.06% USD 5,000,000 VTR COMUNICACIONES SPA CALLABLE NOTES FIXED 4.375%

15/04/29 5,000,000.00 4,957,575.00 1.37% USD 1,192,000 VTR COMUNICACIONES SPA CALLABLE NOTES FIXED 5.125%

15/01/28 1,192,000.00 1,217,622.04 0.34% Total Chile 27,966,893.28 27,618,266.58 7.62% Colombia

USD 3,800,000 COLOMBIA TELECOMUNICACIONES SA ESP CALLABLE NOTES 4.950% 17/07/30 3,857,522.88 3,777,219.00 1.04%

USD 650,000 CREDIVALORES-CREDISERVICIOS SAS CALLABLE NOTES 8.875% 07/02/25 651,148.97 482,696.50 0.13%

USD 7,050,000 ECOPETROL SA CALLABLE BOND FIXED 5.875% 28/05/45 7,335,349.55 6,753,653.25 1.87% USD 1,000,000 GRUPO AVAL LTD CALLABLE NOTES FIXED 4.375% 04/02/30 962,550.68 960,490.00 0.26% USD 500,000 GRUPO ENERGIA BOGOTA SA ESP CALLABLE BOND FIXED 4.875%

15/05/30 495,923.61 539,462.50 0.15% Total Colombia 13,302,495.69 12,513,521.25 3.45% Guatemala

USD 2,550,000 BANCO INDUSTRIAL SA/GUATEMALA CALLABLE NOTES VARIABLE 29/01/31 2,550,000.00 2,533,157.25 0.70%

USD 4,100,000 ENERGUATE TRUST CALLABLE NOTES FIXED 5.875% 03/05/27 4,171,973.49 4,247,641.00 1.17% Total Guatemala 6,721,973.49 6,780,798.25 1.87% Luxembourg

USD 6,100,000 AMAGGI SA NOTES 5.250% 28/01/28 6,100,000.00 6,170,180.50 1.71% USD 4,631,101 FEL ENERGY VI SARL CALLABLE NOTES FIXED 5.750% 01/12/40 4,631,101.20 4,647,379.52 1.28% USD 4,500,000 HIDROVIAS INTERNATIONAL FINANCE SARL CALLABLE 4.950%

08/02/31 4,500,000.00 4,116,195.00 1.14% USD 1,800,000 MILLICOM INTERNATIONAL CELLULAR SA CALLABLE NOTES

4.500% 27/04/31 1,800,000.00 1,816,245.00 0.50% USD 3,800,000 NEXA RESOURCES SA CALLABLE NOTES FIXED 6.500% 18/01/28 3,803,499.68 4,185,586.00 1.15% USD 4,700,000 RAIZEN FUELS FINANCE SA CALLABLE NOTES FIXED 5.300%

20/01/27 4,836,884.26 5,116,161.50 1.41%





99


Cost USD

Market Value

USD


USD 3,800,000 UNIGEL LUXEMBOURG SA CALLABLE NOTES FIXED 8.750%

01/10/26 4,005,912.21 4,031,990.00 1.11% Total Luxembourg 29,677,397.35 30,083,737.52 8.30% Mexico

USD 8,205,000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN CALLABLE 7.625% 31/12/49 8,714,292.35 8,819,554.50 2.44%

USD 8,150,000 BBVA BANCOMER SA/TEXAS CALLABLE NOTES VARIABLE 5.125% 18/01/33 8,005,263.62 8,377,099.75 2.31%

USD 2,750,000 BBVA BANCOMER SA/TEXAS CALLABLE NOTES VARIABLE 5.875% 13/09/34 2,711,015.28 3,007,015.00 0.83%

USD 4,200,000 CIBANCO SA IBM / PLA ADMINISTRADORA INDUSTRIAL S 4.962% 18/07/29 4,176,946.30 4,542,027.00 1.25%

USD 4,800,000 CIBANCO SA INSTITUCION DE BANCA MULTIPLE TRUST 4.375% 22/07/2031 4,763,007.03 4,606,488.00 1.27%

USD 4,550,000 CONTROLADORA MABE SA DE CV CALLABLE NOTES FIXED 5.600% 23/10/28 4,799,044.02 5,190,844.75 1.43%

USD 7,950,000 CYDSA SAB DE CV CALLABLE NOTES FIXED 6.250% 04/10/27 7,181,859.76 8,275,950.00 2.28% USD 2,000,000 ELECTRICIDAD FIRME DE MEXICO HOLDINGS SA DE CV 4.900%

20/11/2026 2,000,000.00 1,988,750.00 0.55% USD 6,850,000 EL PUERTO DE LIVERPOOL SAB DE CV CALLABLE NOTES 3.950%

02/10/24 6,640,893.57 7,192,500.00 1.98% USD 3,000,000 GRUPO AXO SAPI DE CV CALLABLE NOTES FIXED 5.750% 08/06/26 3,000,000.00 3,014,340.00 0.83% USD 6,200,000 GRUPO CEMENTOS DE CHIHUAHUA SAB DE CV CALLABLE 5.250%

23/06/24 6,218,547.30 6,316,064.00 1.74% USD 2,400,000 INFRAESTRUCTURA ENERGETICA NOVA SAB DE CV CALLABLE

4.875% 14/01/48 2,318,128.58 2,428,488.00 0.67% USD 8,700,000 METALSA SA DE CV CALLABLE NOTES FIXED 3.750% 04/05/31 8,700,000.00 8,408,419.50 2.32% USD 2,600,000 NEMAK SAB DE CV CALLABLE NOTES FIXED 3.625% 28/06/31 2,600,000.00 2,538,731.00 0.70% USD 2,200,000 OPERADORA DE SERVICIOS MEGA SA DE CV SOFOM ER 8.250%

11/02/25 2,231,992.09 2,048,255.00 0.56% USD 4,000,000 PETROLEOS MEXICANOS CALLABLE BOND FIXED 6.950% 28/01/60 4,000,000.00 3,577,900.00 0.99% USD 4,760,000 UNIFIN FINANCIERA SAB DE CV CALLABLE NOTES FIXED 8.375%

27/01/28 4,734,532.97 3,934,639.80 1.09% USD 1,600,000 UNIFIN FINANCIERA SAB DE CV CALLABLE NOTES FIXED 9.875%

28/01/29 1,602,566.22 1,350,264.00 0.37% USD 2,500,000 UNIFIN FINANCIERA SAB DE CV SOFOM ENR CALLABLE 8.875%

31/12/49 2,500,000.00 1,481,662.50 0.41% Total Mexico 86,898,089.09 87,098,992.80 24.02% Paraguay

USD 6,700,000 TELEFONICA CELULAR DEL PARAGUAY SA CALLABLE NOTES 5.875% 15/04/27 6,738,693.18 6,941,200.00 1.91%

Total Paraguay 6,738,693.18 6,941,200.00 1.91% Peru

USD 6,350,000 BANCO DE CREDITO DEL PERU CALLABLE MEDIUM TERM 3.125% 01/07/30 6,309,242.09 6,281,197.75 1.73%

USD 2,772,000 BANCO INTERNACIONAL DEL PERU SAA INTERBANK 4.000% 08/07/30 2,772,000.00 2,758,042.98 0.76%

USD 3,300,000 CIA DE MINAS BUENAVENTURA SAA CALLABLE NOTES FIXED 5.500% 23/07/2026 3,274,166.40 3,224,199.00 0.89%

USD 5,041,000 CORP AZUCARERA DEL PERU SA CALLABLE NOTES FIXED 6.375% 02/08/22 4,986,398.51 5,017,887.02 1.38%

USD 4,000,000 KALLPA GENERACION SA CALLABLE NOTES FIXED 4.875% 24/05/26 4,102,727.79 4,239,200.00 1.17%

USD 1,100,000 ORAZUL ENERGY EGENOR SCA CALLABLE NOTES FIXED 5.625% 28/04/27 1,095,374.87 1,059,883.00 0.29%





100


Cost USD

Market Value

USD


USD 7,500,000 PATRIMONIO EN FIDEICOMISO DS 093-2002-EF-INRETAIL 5.750%

03/04/28 7,517,537.11 7,787,100.00 2.15% Total Peru 30,057,446.77 30,367,509.75 8.37% The Netherlands

USD 3,500,000 EMBRAER NETHERLANDS FINANCE BV CALLABLE NOTES 6.950% 17/01/28 3,491,523.97 3,869,110.00 1.07%

USD 1,500,000 VTR FINANCE NV CALLABLE NOTES FIXED 6.375% 15/07/28 1,500,000.00 1,562,190.00 0.43% Total The Netherlands 4,991,523.97 5,431,300.00 1.50% Trinidad and Tobago

USD 3,800,000 TELECOMMUNICATIONS SERVICES OF TRINIDAD & TOBAGO 8.875% 18/10/29 3,817,345.78 4,049,109.00 1.12%

Total Trinidad and Tobago 3,817,345.78 4,049,109.00 1.12% United States of America

USD 4,000,000 AZUL INVESTMENTS LLP CALLABLE NOTES FIXED 7.250% 15/06/26 3,968,139.48 3,669,200.00 1.01% USD 6,600,000 GRAN TIERRA ENERGY INC CALLABLE NOTES FIXED 7.750%

23/05/27 6,512,695.25 6,004,350.00 1.66% USD 6,000,000 SIERRACOL ENERGY ANDINA LLC CALLABLE NOTES FIXED

6.000% 15/06/28 5,961,269.89 5,648,430.00 1.56% Total United States of America 16,442,104.62 15,321,980.00 4.23% Total Bonds 344,966,008.57 343,457,389.49 94.72% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 344,966,008.57 343,457,389.49 94.72% Total investments 344,966,008.57 343,457,389.49 94.72%



101


Mexico 24.02% Brazil 23.15% Peru 8.37% Luxembourg 8.30% Chile 7.62% United States of America 4.23% Colombia 3.45% Argentina 2.68% Canada 2.53% Paraguay 1.91% Guatemala 1.87% British Virgin Islands 1.69% The Netherlands 1.50% Cayman Islands 1.43% Trinidad and Tobago 1.12% Bermuda 0.85%

Total 94.72%


% of Net Assets

Oil and gas 11.43% Electricity 11.22% Banks 10.30% Iron and steel 5.49% Retail 5.36% Food 5.34% Building materials 4.90% Transportation 4.64% Auto parts and equipment 4.59% Telecommunications 4.57% Diversified financial services 3.31% REITs 2.52% Real estate 2.15% Media 2.14% Mining 2.04% Agriculture 1.71% Commercial services 1.71% Forest products and paper 1.70% Packaging and containers 1.50% Home Furnishings 1.43% Water 1.42% Chemicals 1.11% Aerospace and defense 1.07% Energy-alternate sources 1.06% Airlines 1.01% Insurance 0.85% Gas 0.15%

Total 94.72%




102

SANTAND ER GO NORTH AMERICAN EQUITY SANTANDER GO NORTH A ME RICAN EQUITY




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Equities Canada

USD 93,231 SHOPIFY INC 81,270,413.07 128,415,447.09 6.72% Total Canada 81,270,413.07 128,415,447.09 6.72% Sweden

USD 189,490 SPOTIFY TECHNOLOGY SA 42,727,439.25 44,346,344.70 2.32% Total Sweden 42,727,439.25 44,346,344.70 2.32% The Netherlands

EUR 12,024 ADYEN NV 20,011,386.21 31,606,740.78 1.65% USD 96,926 ASML HOLDING NV NY REG SHRS 58,512,630.68 77,166,665.64 4.04%


USD 751,807 FARFETCH LTD 35,904,520.29 25,132,908.01 1.31% USD 1,348,147 ROYALTY PHARMA PLC 57,979,330.90 53,723,657.95 2.82%

Total United Kingdom 93,883,851.19 78,856,565.96 4.13% United States of America

USD 373,432 AIRBNB INC 61,933,447.74 62,172,693.68 3.25% USD 342,657 CHEWY INC 21,897,435.95 20,206,483.29 1.06% USD 146,257 CLOUDFLARE INC 18,897,021.51 19,232,795.50 1.01% USD 78,390 COINBASE GLOBAL INC 21,788,028.28 19,783,284.30 1.04% USD 303,201 COUPA SOFTWARE INC 62,418,176.31 47,920,918.05 2.51% USD 417,821 DATADOG INC 44,524,363.97 74,418,098.31 3.89% USD 90,965 DOMINO'S PIZZA INC 47,493,303.23 51,334,278.45 2.69% USD 371,105 HEICO CORP 36,223,882.20 47,694,414.60 2.50% USD 315,693 IAC/INTERACTIVECORP 38,118,407.74 41,264,232.03 2.16% USD 133,510 INTUITIVE SURGICAL INC 28,652,013.34 47,970,143.00 2.51% USD 43,176 LULULEMON ATHLETICA INC 13,942,897.43 16,901,245.20 0.88% USD 149,081 MATCH GROUP INC 17,755,343.56 19,715,962.25 1.03% USD 352,436 PINTEREST INC 20,659,815.90 12,811,048.60 0.67% USD 993,017 ROBLOX CORP 83,091,094.21 102,439,633.72 5.36% USD 1,011,169 SNAP INC 60,795,579.20 47,555,278.07 2.49% USD 371,859 SNOWFLAKE INC 94,828,191.87 125,967,236.25 6.56% USD 471,538 SQUARE INC 66,777,049.91 76,158,102.38 3.98% USD 506,148 TRADE DESK INC/THE 42,699,065.36 46,383,402.72 2.43% USD 312,476 TWILIO INC 84,684,171.48 82,287,429.84 4.31% USD 1,855,038 TWITTER INC 83,100,913.45 80,174,742.36 4.19% USD 2,436,808 UBER TECHNOLOGIES INC 111,467,362.27 102,175,359.44 5.35% USD 494,395 UNITY SOFTWARE INC 74,936,746.37 70,693,541.05 3.70% USD 351,098 VEEVA SYSTEMS INC 83,349,538.00 89,698,517.04 4.69% USD 447,007 VIMEO INC 14,491,754.85 8,028,245.72 0.42%





103


Cost USD

Market Value

USD


USD 190,278 WAYFAIR INC 59,607,595.12 36,147,111.66 1.89% USD 70,462 WORKDAY INC 15,650,686.45 19,248,809.16 1.01% USD 796,625 ZOOMINFO TECHNOLOGIES INC 43,836,981.60 51,143,325.00 2.68% USD 263,608 ZOOM VIDEO COMMUNICATIONS INC 81,415,347.20 48,480,147.28 2.54%

Total United States of America 1,435,036,214.50 1,468,006,478.95 76.80% Total Equities 1,731,441,934.90 1,828,398,243.12 95.66% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 1,731,441,934.90 1,828,398,243.12 95.66% Total investments 1,731,441,934.90 1,828,398,243.12 95.66%



104


United States of America 76.80% Canada 6.72% The Netherlands 5.69% United Kingdom 4.13% Sweden 2.32%

Total 95.66%


% of Net Assets

Software 38.26% Internet 32.86% Commercial services 5.63% Semiconductors 4.04% Retail 3.57% Biotechnology 2.82% Healthcare products 2.51% Aerospace and defense 2.50% Advertising 2.43% Diversified financial services 1.04%

Total 95.66%




105

SANTAND ER EUROP EAN DIVID END SANTANDER EURO PEAN DIVIDEND




Cost EUR

Market Value EUR


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Equities Belgium

EUR 12,478 KBC GROUP NV 707,754.94 941,589.88 1.00% Total Belgium 707,754.94 941,589.88 1.00% Denmark

DKK 10,117 CARLSBERG AS 1,198,203.91 1,536,408.80 1.64% Total Denmark 1,198,203.91 1,536,408.80 1.64% Finland

SEK 144,707 NORDEA BANK ABP 967,727.83 1,553,036.54 1.66% Total Finland 967,727.83 1,553,036.54 1.66% France

EUR 59,762 AXA SA 1,349,700.48 1,564,867.97 1.67% EUR 15,588 BNP PARIBAS SA 883,628.38 947,282.76 1.01% EUR 97,324 CARREFOUR SA 1,348,678.84 1,567,403.02 1.67% EUR 25,802 CIE DE SAINT-GOBAIN 937,213.20 1,596,369.74 1.70% EUR 6,524 CIE GENERALE DES ETABLISSEMENTS MICHELIN 875,636.72 940,434.60 1.00% EUR 17,304 EIFFAGE SA 1,476,994.75 1,565,319.84 1.67% EUR 164,414 ORANGE SA 1,989,884.04 1,547,628.98 1.65% EUR 26,359 PUBLICIS GROUPE SA 999,452.49 1,560,452.80 1.67% EUR 36,933 SANOFI 2,898,145.67 3,271,525.14 3.49% EUR 57,707 SCOR SE 1,597,114.78 1,583,480.08 1.69% EUR 20,523 THALES SA 1,753,772.52 1,535,120.40 1.64% EUR 82,572 TOTAL SA 3,646,996.45 3,685,188.36 3.96%

Total France 19,757,218.32 21,365,073.69 22.82% Germany

EUR 20,482 BAYER AG 1,267,391.61 962,654.00 1.03% EUR 17,445 BAYERISCHE MOTOREN WERKE AG 1,553,533.47 1,543,708.05 1.65% EUR 29,401 COVESTRO AG 1,671,439.94 1,593,534.20 1.68% EUR 27,271 DEUTSCHE POST AG 1,161,435.50 1,541,902.34 1.65% EUR 76,667 E.ON SE 833,901.68 934,724.06 1.00% EUR 25,900 HEIDELBERGCEMENT AG 1,646,569.80 1,541,568.00 1.65% EUR 6,436 SIEMENS AG 608,184.35 982,648.48 1.05%

Total Germany 8,742,456.35 9,100,739.13 9.71% Ireland

GBP 21,472 DCC PLC 1,509,607.71 1,547,226.84 1.65% Total Ireland 1,509,607.71 1,547,226.84 1.65% Italy

EUR 82,942 ASSICURAZIONI GENERALI SPA 1,426,804.73 1,545,209.46 1.65% EUR 135,697 ENEL SPA 689,244.67 956,121.06 1.02% EUR 681,139 INTESA SANPAOLO SPA 1,350,207.53 1,548,910.09 1.65%

Total Italy 3,466,256.93 4,050,240.61 4.32%





106


Cost EUR

Market Value EUR


Jersey

GBP 62,794 POLYMETAL INTERNATIONAL PLC 1,089,855.19 980,872.51 1.05% Total Jersey 1,089,855.19 980,872.51 1.05% Norway

NOK 68,076 TELENOR ASA 1,075,659.59 940,882.82 1.00% Total Norway 1,075,659.59 940,882.82 1.00% Spain

EUR 40,628 ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS SA 1,050,645.68 957,601.96 1.02% EUR 45,802 ENAGAS SA 885,426.05 934,360.80 1.00%

Total Spain 1,936,071.73 1,891,962.76 2.02% Sweden

SEK 129,654 SKANDINAVISKA ENSKILDA BANKEN AB 1,376,740.10 1,584,780.05 1.69% Total Sweden 1,376,740.10 1,584,780.05 1.69% Switzerland

CHF 12,551 NESTLE SA 883,713.36 1,543,680.31 1.65% CHF 42,375 NOVARTIS AG 2,677,075.04 3,283,147.13 3.50% CHF 5,088 ROCHE HOLDING AG 1,115,989.55 1,861,547.65 1.99%


EUR 124,285 ING GROEP NV 770,596.52 1,521,496.97 1.62% EUR 51,319 KONINKLIJKE AHOLD DELHAIZE NV 978,139.71 1,546,498.07 1.65% EUR 567,677 KONINKLIJKE KPN NV 1,310,585.19 1,549,758.21 1.65% EUR 32,863 NN GROUP NV 1,167,474.39 1,564,607.43 1.67% EUR 192,320 ROYAL DUTCH SHELL PLC 2,603,634.60 3,713,699.20 3.97% EUR 36,281 SIGNIFY NV 1,745,702.65 1,479,539.18 1.58% EUR 93,447 STELLANTIS NV 1,181,765.94 1,558,509.07 1.66%


GBP 18,311 ASTRAZENECA PLC 1,611,208.96 1,892,595.60 2.02% GBP 318,282 AVIVA PLC 1,555,808.70 1,555,770.56 1.66% GBP 59,756 BHP GROUP PLC 1,310,010.89 1,565,422.61 1.67% GBP 98,317 BRITISH AMERICAN TOBACCO PLC 3,927,462.19 3,200,912.59 3.42% GBP 169,622 IMPERIAL BRANDS PLC 4,423,359.37 3,265,758.05 3.47% GBP 46,144 PERSIMMON PLC 1,660,238.94 1,569,638.20 1.68% GBP 257,573 ROYAL MAIL PLC 1,606,963.59 1,552,304.69 1.66%





107


Cost EUR

Market Value EUR


GBP 22,293 SCHRODERS PLC 703,972.63 945,245.53 1.01% GBP 449,783 TESCO PLC 1,279,360.71 1,553,021.15 1.66% EUR 49,960 UNILEVER PLC 2,237,521.74 2,350,867.80 2.51% GBP 1,149,872 VODAFONE GROUP PLC 1,780,727.02 1,537,448.78 1.64%

Total United Kingdom 22,096,634.74 20,988,985.56 22.40% Total Equities 78,358,864.29 86,104,282.41 91.90% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 78,358,864.29 86,104,282.41 91.90% Total investments 78,358,864.29 86,104,282.41 91.90%



108


France 22.82% United Kingdom 22.40% The Netherlands 13.80% Germany 9.71% Switzerland 7.14% Italy 4.32% Spain 2.02% Sweden 1.69% Finland 1.66% Ireland 1.65% Denmark 1.64% Jersey 1.05% Belgium 1.00% Norway 1.00%

Total 91.90%


% of Net Assets

Pharmaceuticals 12.03% Oil and gas 9.58% Banks 8.63% Insurance 8.34% Agriculture 6.89% Food 6.63% Telecommunications 5.94% Building materials 3.35% Auto manufacturers 3.31% Transportation 3.31% Mining 2.72% Engineering and construction 2.69% Cosmetics and personal care 2.51% Electricity 2.02% Chemicals 1.68% Home builders 1.68% Advertising 1.67% Aerospace and defense 1.64% Beverages 1.64% Electrical components and equipment 1.58% Miscellaneous manufacture 1.05% Diversified financial services 1.01% Auto parts and equipment 1.00% Gas 1.00%

Total 91.90%




109

SANTAND ER AM LA TIN AM ERICAN F IXED INCOME SANTANDER AM LATIN A MERI CAN FIXED IN COME




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds Bermuda

USD 500,000 CREDICORP LTD CALLABLE NOTES FIXED 2.750% 17/06/25 497,977.24 505,209.88 1.45% Total Bermuda 497,977.24 505,209.88 1.45% Brazil

USD 1,250,000 AEGEA FINANCE SARL CALLABLE NOTES FIXED 5.750% 10/10/24 1,234,091.22 1,285,381.25 3.68% USD 1,000,000 BANCO BTG PACTUAL SA/CAYMAN ISLANDS CALLABLE 4.500%

10/01/25 981,944.52 1,009,960.11 2.89% USD 1,250,000 BANCO DAYCOVAL SA MEDIUM TERM NOTE FIXED 4.250%

13/12/24 1,217,442.71 1,279,187.50 3.66% USD 1,200,000 CEMIG GERACAO E TRANSMISSAO SA CALLABLE NOTES 9.250%

05/12/24 1,323,894.47 1,345,104.00 3.86% USD 961,000 CIA BRASILEIRA DE ALUMINIO CALLABLE NOTES FIXED 4.750%

17/06/24 976,749.34 1,010,491.50 2.89% USD 800,000 FIBRIA OVERSEAS FINANCE LTD CALLABLE NOTES FIXED 4.000%

14/01/25 819,490.68 841,124.00 2.41% USD 1,051,935 PRUMO PARTICIPACOES E INVESTIMENTOS S/A CALLABLE

7.500% 31/12/31 1,070,151.36 1,133,312.91 3.25% Total Brazil 7,623,764.30 7,904,561.27 22.64% Cayman Islands

USD 1,500,000 GLOBO COMUNICACAO E PARTICIPACOES SA CALLABLE 4.843% 08/06/25 1,506,227.59 1,536,727.50 4.40%

Total Cayman Islands 1,506,227.59 1,536,727.50 4.40% Chile

USD 1,000,000 CENCOSUD SA CALLABLE NOTES FIXED 5.150% 12/02/25 1,037,115.87 1,081,035.00 3.10% USD 500,000 ENGIE ENERGIA CHILE SA CALLABLE NOTES FIXED 4.500%

29/01/25 523,958.76 533,240.00 1.53% USD 600,000 FALABELLA SA CALLABLE NOTES FIXED 4.375% 27/01/25 610,720.71 636,843.00 1.82% USD 750,000 TRANSELEC SA CALLABLE NOTES FIXED 4.250% 14/01/25 782,028.48 793,458.75 2.27%

Total Chile 2,953,823.82 3,044,576.75 8.72% Colombia

USD 1,500,000 BANCO BILBAO VIZCAYA ARGENTARIA COLOMBIA SA NOTES 4.875% 21/04/25 1,543,490.77 1,552,800.00 4.44%

USD 1,000,000 BANCOLOMBIA SA CALLABLE NOTES VARIABLE 4.625% 18/12/29 925,986.37 1,001,515.00 2.87% USD 1,000,000 ECOPETROL SA CALLABLE BOND FIXED 4.125% 16/01/25 1,019,231.23 1,017,575.00 2.92%

Total Colombia 3,488,708.37 3,571,890.00 10.23% Luxembourg

USD 1,600,000 AMAGGI SA NOTES 5.250% 28/01/28 1,636,499.15 1,618,408.00 4.63% USD 1,000,000 RUMO LUXEMBOURG SARL CALLABLE NOTES FIXED 5.875%

18/01/25 1,026,483.84 1,028,775.00 2.95% Total Luxembourg 2,662,982.99 2,647,183.00 7.58%





110


Cost USD

Market Value

USD


Mexico

USD 750,000 BANCO SANTANDER MEXICO SA INSTITUCION DE BANCA 5.375% 17/04/25 786,722.33 819,420.00 2.35%

USD 1,000,000 BBVA BANCOMER SA/TEXAS CALLABLE NOTES VARIABLE 5.350% 12/11/29 966,710.63 1,043,210.00 2.99%

USD 1,000,000 BECLE SAB DE CV CALLABLE NOTES FIXED 3.750% 13/05/25 1,035,413.42 1,078,495.00 3.09% USD 1,500,000 CEMEX SAB DE CV CALLABLE NOTES FIXED 7.375% 05/06/27 1,500,000.00 1,653,300.00 4.74% USD 1,250,000 EL PUERTO DE LIVERPOOL SAB DE CV CALLABLE NOTES 3.950%

02/10/24 1,261,974.57 1,312,500.00 3.76% USD 1,300,000 PETROLEOS MEXICANOS CALLABLE BOND FIXED 4.250% 15/01/25 1,218,778.67 1,331,226.00 3.81% USD 785,000 TRUST FIBRA UNO CALLABLE NOTES FIXED 5.250% 15/12/24 803,000.75 854,107.48 2.45% USD 300,000 UNIFIN FINANCIERA SAB DE CV CALLABLE NOTES FIXED 9.875%

28/01/29 300,000.00 253,174.50 0.73% Total Mexico 7,872,600.37 8,345,432.98 23.92% Peru

USD 500,000 AUNA SAA CALLABLE NOTES FIXED 6.500% 20/11/25 516,264.14 514,270.00 1.47% USD 750,000 BANCO DE CREDITO DEL PERU CALLABLE MEDIUM TERM 3.125%

01/07/30 744,736.63 741,873.75 2.13% USD 1,250,000 CORP FINANCIERA DE DESARROLLO SA CALLABLE NOTES 5.250%

15/07/29 1,309,381.02 1,293,193.76 3.70% Total Peru 2,570,381.79 2,549,337.51 7.30% Supranational

USD 1,000,000 JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE 5.500% 15/01/30 1,035,640.90 1,089,180.01 3.12%

Total Supranational 1,035,640.90 1,089,180.01 3.12% The Netherlands

USD 1,500,000 EMBRAER NETHERLANDS FINANCE BV CALLABLE NOTES 5.050% 15/06/25 1,430,498.25 1,552,380.00 4.45%

Total The Netherlands 1,430,498.25 1,552,380.00 4.45% Total Bonds 31,642,605.62 32,746,478.90 93.81% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 31,642,605.62 32,746,478.90 93.81% Total investments 31,642,605.62 32,746,478.90 93.81%



111


Mexico 23.92% Brazil 22.64% Colombia 10.23% Chile 8.72% Luxembourg 7.58% Peru 7.30% The Netherlands 4.45% Cayman Islands 4.40% Supranational 3.12% Bermuda 1.45%

Total 93.81%


% of Net Assets

Banks 23.59% Electricity 7.66% Oil and gas 6.73% Food 6.22% Transportation 6.20% Retail 5.58% Building materials 4.74% Agriculture 4.63% Aerospace and defense 4.45% Media 4.40% Water 3.68% Diversified financial services 3.62% Beverages 3.09% Mining 2.89% REITs 2.45% Forest products and paper 2.41% Healthcare services 1.47%

Total 93.81%




112

SANTAND ER AM EU RO C ORPORA TE BOND SANTANDER AM EU RO CO RPORATE BOND




Cost EUR

Market Value EUR


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds Austria

EUR 100,000 ERSTE GROUP BANK AG CALLABLE MEDIUM TERM NOTE 0.875% 15/11/2032 99,267.11 98,826.60 0.20%

EUR 100,000 ERSTE GROUP BANK AG CALLABLE MEDIUM TERM NOTE 1.000% 10/06/30 99,549.88 100,656.80 0.20%

EUR 100,000 OMV AG CALLABLE NOTES VARIABLE 2.500% 31/12/64 100,000.00 103,905.00 0.21% EUR 200,000 RAIFFEISEN BANK INTERNATIONAL AG MEDIUM TERM NOTE

0.050% 01/09/2027 199,549.98 195,608.77 0.39% EUR 200,000 VOLKSBANK WIEN AG CALLABLE BOND VARIABLE 2.750%

06/10/27 200,501.24 203,216.80 0.39% Total Austria 698,868.21 702,213.97 1.39% Belgium

EUR 200,000 ANHEUSER-BUSCH INBEV SA/NV CALLABLE MEDIUM TERM 1.150% 22/01/27 206,875.75 208,199.20 0.41%

EUR 150,000 ANHEUSER-BUSCH INBEV SA/NV CALLABLE MEDIUM TERM 2.750% 17/03/36 161,789.39 177,794.25 0.35%

EUR 400,000 BELFIUS BANK SA BOND FIXED 0.375% 02/09/25 399,322.65 402,588.00 0.80% EUR 100,000 BELFIUS BANK SA MEDIUM TERM NOTE FIXED 0.375% 08/06/27 99,771.23 99,444.20 0.20% EUR 100,000 FLUVIUS SYSTEM OPERATOR CVBA CALLABLE MEDIUM TERM

0.250% 14/06/28 99,396.72 98,502.90 0.20% EUR 100,000 FLUVIUS SYSTEM OPERATOR CVBA CALLABLE MEDIUM TERM

0.625% 24/11/2031 99,324.68 98,889.50 0.20% EUR 200,000 KBC GROUP NV CALLABLE MEDIUM TERM NOTE VARIABLE

0.500% 03/12/29 199,079.23 199,195.60 0.39% Total Belgium 1,265,559.65 1,284,613.65 2.55% Denmark

EUR 300,000 CARLSBERG BREWERIES AS CALLABLE NOTES FIXED 0.375% 30/06/27 305,244.06 300,352.50 0.60%

EUR 200,000 JYSKE BANK A/S CALLABLE MEDIUM TERM NOTE VARIABLE 0.050% 02/09/2026 199,615.24 197,327.80 0.39%

EUR 400,000 NYKREDIT REALKREDIT AS BOND FIXED 0.250% 13/01/26 399,588.20 397,662.80 0.78% EUR 200,000 NYKREDIT REALKREDIT AS MEDIUM TERM NOTE FIXED 0.375%

17/01/28 197,805.01 195,268.20 0.39% Total Denmark 1,102,252.51 1,090,611.30 2.16% Finland

EUR 100,000 KOJAMO OYJ CALLABLE MEDIUM TERM NOTE FIXED 0.875% 28/05/29 99,118.55 98,756.40 0.20%

EUR 200,000 NORDEA BANK ABP MEDIUM TERM NOTE FIXED 0.500% 02/11/2028 199,334.00 199,101.80 0.39% EUR 200,000 OP CORPORATE BANK PLC CALLABLE NOTES VARIABLE 1.625%

09/06/30 199,255.08 204,879.60 0.41% EUR 135,000 SATO OYJ CALLABLE NOTES FIXED 1.375% 24/02/28 134,697.35 138,485.70 0.27%

Total Finland 632,404.98 641,223.50 1.27% France

EUR 300,000 AUCHAN HOLDING SADIR CALLABLE MEDIUM TERM NOTE 2.375% 25/04/25 319,949.32 316,907.40 0.63%

EUR 200,000 AXA SA CALLABLE MEDIUM TERM NOTE VARIABLE EUR 1000 3.875% 31/12/49 219,661.55 222,934.20 0.44%





113


Cost EUR

Market Value EUR


EUR 200,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA BOND FIXED

0.250% 19/07/28 194,738.28 195,406.40 0.39% EUR 100,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MEDIUM TERM

1.625% 15/11/27 97,827.31 104,024.50 0.21% EUR 100,000 BNP PARIBAS CARDIF SA MEDIUM TERM NOTE FIXED 1.000%

29/11/24 99,162.35 102,016.80 0.20% EUR 100,000 BNP PARIBAS SA CALLABLE BOND VARIABLE 0.500% 04/06/26 99,867.99 100,948.50 0.20% EUR 100,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

0.500% 30/05/2028 99,369.53 99,407.60 0.20% EUR 300,000 BPCE SA CALLABLE MEDIUM TERM NOTE VARIABLE 0.500%

15/09/27 298,081.77 299,085.30 0.59% EUR 100,000 BPCE SA MEDIUM TERM NOTE FIXED EUR 1.000% 01/04/25 100,053.37 102,727.40 0.20% EUR 200,000 BPCE SA NOTES FIXED EUR 100,000 4.625% 18/07/23 214,373.96 214,101.60 0.42% EUR 100,000 CAPGEMINI SE CALLABLE NOTES FIXED 1.125% 23/06/30 99,594.36 103,876.90 0.21% EUR 100,000 CARREFOUR BANQUE SA CALLABLE MEDIUM TERM NOTE 0.107%

14/06/25 100,000.00 99,374.30 0.20% EUR 100,000 CNP ASSURANCES CALLABLE MEDIUM TERM NOTE VARIABLE

2.500% 30/06/51 99,608.25 105,952.10 0.21% EUR 100,000 CNP ASSURANCES CALLABLE NOTES FIXED 0.375% 08/03/28 99,727.79 96,583.70 0.19% EUR 100,000 CNP ASSURANCES MEDIUM TERM NOTE FIXED 2.750% 05/02/29 101,593.28 112,244.60 0.22% EUR 200,000 COENTREPRISE DE TRANSPORT D'ELECTRICITE SA 1.500% 29/07/28 206,784.35 211,053.40 0.42% EUR 100,000 CREDIT AGRICOLE ASSURANCES SA NOTES FIXED 2.000% 17/07/30 99,648.91 103,464.70 0.21% EUR 100,000 CREDIT AGRICOLE SA/LONDON MEDIUM TERM NOTE FIXED

1.875% 20/12/26 100,680.25 107,539.80 0.21% EUR 100,000 CREDIT AGRICOLE SA CALLABLE MEDIUM TERM NOTE 0.499%

21/09/2029 99,828.12 98,779.50 0.20% EUR 200,000 CREDIT MUTUEL ARKEA SA CALLABLE MEDIUM TERM NOTE

1.875% 25/10/29 193,585.55 206,566.20 0.41% EUR 100,000 CREDIT MUTUEL ARKEA SA MEDIUM TERM NOTE FIXED 0.875%

25/10/2031 99,339.62 99,900.20 0.20% EUR 100,000 CREDIT MUTUEL ARKEA SA MEDIUM TERM NOTE FIXED 1.625%

15/04/26 99,780.28 105,410.40 0.21% EUR 100,000 CROWN EUROPEAN HOLDINGS SA CALLABLE NOTES FIXED

2.250% 01/02/23 101,647.00 101,763.40 0.20% EUR 200,000 EIFFAGE SA CALLABLE NOTES FIXED 1.625% 14/01/27 198,360.19 204,219.40 0.40% EUR 200,000 ENGIE SA CALLABLE MEDIUM TERM NOTE FIXED 0.375% 21/06/27 199,211.18 200,625.80 0.40% EUR 200,000 ENGIE SA CALLABLE MEDIUM TERM NOTE FIXED 0.375%

26/10/2029 197,305.78 198,044.00 0.39% EUR 100,000 ENGIE SA CALLABLE MEDIUM TERM NOTE FIXED 1.000%

26/10/2036 98,319.01 99,562.00 0.20% EUR 100,000 ENGIE SA CALLABLE MEDIUM TERM NOTE FIXED 1.375% 21/06/39 98,111.57 103,749.20 0.21% EUR 100,000 ILIAD SA CALLABLE NOTES FIXED 0.750% 11/02/24 99,890.71 99,400.00 0.20% EUR 100,000 INFRA PARK SAS CALLABLE BOND FIXED 1.625% 19/04/28 105,120.51 104,102.70 0.21% EUR 100,000 INFRA PARK SAS CALLABLE BOND FIXED 2.125% 16/04/25 105,545.27 105,342.80 0.21% EUR 200,000 LA BANQUE POSTALE SA CALLABLE MEDIUM TERM NOTE 0.500%

17/06/26 199,081.79 201,377.80 0.40% EUR 100,000 MUTUELLE ASSURANCE DES COMMERCANTS ET INDUSTRIELS

0.625% 21/06/27 99,404.43 98,049.50 0.19% EUR 100,000 ORANGE SA CALLABLE MEDIUM TERM NOTE FIXED 1.375%

04/09/49 99,080.96 102,894.90 0.20% EUR 100,000 ORANGE SA CALL MTN VAR 5% EUR 1000 5.000% 31/12/49 116,640.21 117,578.00 0.23% EUR 200,000 ORANGE SA MEDIUM TERM NOTE FIXED 1.200% 11/07/2034 210,322.03 207,277.00 0.41% EUR 100,000 ORANGE SA MEDIUM TERM NOTE FIXED 8.125% 28/01/33 163,081.78 175,858.60 0.35% EUR 100,000 PSA BANQUE FRANCE SA MEDIUM TERM NOTE FIXED 0.750%

19/04/23 101,078.72 101,167.00 0.20% EUR 170,000 RCI BANQUE SA CALLABLE MEDIUM TERM NOTE FIXED 0.750%

10/04/23 169,881.65 171,214.65 0.34% EUR 200,000 RCI BANQUE SA CALLABLE MEDIUM TERM NOTE FIXED 1.125%

15/01/27 199,127.87 202,052.80 0.40% EUR 200,000 RENAULT SA CALLABLE MEDIUM TERM NOTE FIXED 1.250%

24/06/25 199,212.74 196,857.40 0.39% EUR 100,000 RTE RESEAU DE TRANSPORT D'ELECTRICITE SADIR 2.000%

18/04/36 114,315.63 113,875.10 0.23% EUR 100,000 RTE RESEAU DE TRANSPORT D'ELECTRICITE SA MEDIUM 2.750%

20/06/29 107,167.26 116,963.70 0.23% EUR 300,000 SANEF SA CALLABLE BOND FIXED 1.875% 16/03/26 308,557.62 317,063.40 0.63%





114


Cost EUR

Market Value EUR


EUR 300,000 SOCIETE GENERALE SA CALLABLE BOND VARIABLE 12/06/29 298,869.63 293,806.50 0.58% EUR 200,000 SOCIETE GENERALE SA CALLABLE MEDIUM TERM NOTE 1.000%

24/11/30 199,190.50 199,974.00 0.40% EUR 200,000 SUEZ CALLABLE MEDIUM TERM NOTE FIXED 0.500% 14/10/31 199,982.14 196,736.80 0.39% EUR 100,000 TDF INFRASTRUCTURE SASU CALLABLE NOTES FIXED 1.750%

01/12/2029 99,620.81 99,237.10 0.20% EUR 300,000 TELEPERFORMANCE CALLABLE BOND FIXED 1.500% 03/04/24 300,917.64 308,336.70 0.61% EUR 100,000 TEREGA SASU CALLABLE NOTES FIXED 0.625% 27/02/28 99,498.94 99,114.30 0.20% EUR 100,000 TOTALENERGIES SE CALLABLE MEDIUM TERM NOTE 2.708%

PERP 103,413.35 102,872.00 0.20% EUR 100,000 UMG GROUPE VYV BOND FIXED EUR 1.625% 02/07/29 99,400.60 105,622.90 0.21% EUR 400,000 VEOLIA ENVIRONNEMENT SA CALLABLE MEDIUM TERM NOTE

0.927% 04/01/29 398,734.06 414,098.40 0.81% Total France 8,233,347.77 8,367,143.35 16.59% Germany

EUR 100,000 ALLIANZ FINANCE II BV CALLABLE NOTES FIXED 0.500% 22/11/2033 98,606.80 97,884.40 0.19%

EUR 200,000 ALLIANZ SE CALLABLE MEDIUM TERM NOTE VARIABLE EUR 4.750% 31/12/49 226,655.60 216,000.00 0.43%

EUR 100,000 ALLIANZ SE CALLABLE NOTES VARIABLE EUR 5.625% 17/10/42 113,984.27 104,340.00 0.21% EUR 200,000 ALSTRIA OFFICE REIT-AG CALLABLE BOND FIXED 0.500% 26/09/25 201,761.87 197,874.60 0.39% EUR 200,000 BAYER AG CALLABLE NOTES FIXED 0.050% 12/01/25 199,659.94 199,572.40 0.40% EUR 300,000 BAYER AG CALLABLE NOTES FIXED 0.375% 06/07/24 299,154.73 302,886.00 0.57% EUR 100,000 BAYER AG CALLABLE NOTES FIXED 1.375% 06/07/32 99,912.76 102,549.00 0.20% EUR 100,000 BAYERISCHE LANDESBANK CALLABLE NOTES VARIABLE 1.375%

22/11/2032 99,966.46 100,396.50 0.20% EUR 100,000 COMMERZBANK AG CALLABLE MEDIUM TERM NOTE VARIABLE

0.750% 24/03/26 99,625.28 101,509.50 0.20% EUR 300,000 COMMERZBANK AG MEDIUM TERM NOTE FIXED 0.875% 22/01/27 305,502.62 302,124.00 0.60% EUR 200,000 COMMERZBANK AG MEDIUM TERM NOTE FIXED 4.000% 23/03/26 206,405.33 221,233.40 0.44% EUR 100,000 DEUTSCHE BAHN FINANCE GMBH MEDIUM TERM NOTE FIXED

0.625% 15/04/36 98,505.73 96,225.20 0.19% EUR 100,000 DEUTSCHE BAHN FINANCE GMBH MEDIUM TERM NOTE FIXED

1.125% 29/05/51 99,529.98 98,577.40 0.20% EUR 100,000 DEUTSCHE BANK AG CALLABLE MEDIUM TERM NOTE 17/02/27 99,762.86 99,925.00 0.20% EUR 100,000 DEUTSCHE BANK AG MEDIUM TERM NOTE FIXED 2.750%

17/02/2025 105,640.70 105,257.50 0.21% EUR 200,000 HEIDELBERGCEMENT AG CALLABLE MEDIUM TERM NOTE

2.250% 03/06/24 206,298.59 209,941.00 0.42% EUR 100,000 HEIDELBERGCEMENT FINANCE LUXEMBOURG SA CALLABLE

1.125% 01/12/27 99,335.03 103,662.90 0.21% EUR 200,000 INFINEON TECHNOLOGIES AG CALLABLE MEDIUM TERM NOTE

1.625% 24/06/29 213,811.83 213,123.00 0.42% EUR 150,000 INNOGY FINANCE BV MEDIUM TERM NOTE FIXED 5.750% 14/02/33 201,458.46 226,955.25 0.45% EUR 100,000 LEG IMMOBILIEN AG CALLABLE MEDIUM TERM NOTE FIXED

1.250% 23/01/24 99,825.72 102,110.60 0.20% EUR 100,000 LEG IMMOBILIEN SE CALLABLE MEDIUM TERM NOTE FIXED

0.875% 30/03/33 99,276.39 96,756.50 0.19% EUR 100,000 LEG IMMOBILIEN SE CALLABLE NOTES FIXED 1.00% 19/11/2032 98,655.55 98,198.00 0.19% EUR 200,000 O2 TELEFONICA DEUTSCHLAND FINANZIERUNGS GMBH 1.750%

05/07/25 210,436.13 210,031.00 0.42% EUR 100,000 RWE AG CALLABLE MEDIUM TERM NOTE FIXED 0.500% 26/11/2028 99,811.22 100,061.80 0.20% EUR 100,000 RWE AG CALLABLE MEDIUM TERM NOTE FIXED 1.000% 26/11/2033 99,146.93 99,716.70 0.20% EUR 200,000 RWE AG CALLABLE NOTES FIXED 0.625% 11/06/31 199,455.62 196,259.00 0.39% EUR 150,000 SCHAEFFLER AG CALLABLE MEDIUM TERM NOTE FIXED 1.125%

26/03/22 150,293.58 150,291.00 0.30% EUR 100,000 SCHAEFFLER AG CALLABLE MEDIUM TERM NOTE FIXED 2.750%

12/10/25 106,940.92 106,250.00 0.21% EUR 100,000 TALANX AG CALLABLE MEDIUM TERM NOTE VARIABLE 05/12/47 107,512.18 105,616.24 0.21% EUR 100,000 VOLKSWAGEN INTERNATIONAL FINANCE NV CALLABLE BOND

3.375% 31/12/49 100,000.00 105,642.90 0.21%





115


Cost EUR

Market Value EUR


EUR 100,000 VOLKSWAGEN INTERNATIONAL FINANCE NV CALLABLE BOND

4.625% 31/12/49 100,000.00 113,712.50 0.23% EUR 147,000 VOLKSWAGEN LEASING GMBH MEDIUM TERM NOTE FIXED

0.000% 19/07/24 146,788.87 146,660.14 0.29% EUR 125,000 VOLKSWAGEN LEASING GMBH MEDIUM TERM NOTE FIXED

0.375% 20/07/26 124,854.48 124,820.13 0.25% EUR 100,000 VONOVIA FINANCE BV CALLABLE MEDIUM TERM NOTE FIXED

1.000% 28/01/41 98,432.42 88,590.40 0.18% EUR 100,000 VONOVIA SE CALLABLE MEDIUM TERM NOTE FIXED 0.000%

01/12/2025 99,746.68 98,935.80 0.20% EUR 100,000 VONOVIA SE CALLABLE MEDIUM TERM NOTE FIXED 0.375%

16/06/27 99,951.42 98,971.00 0.20% EUR 100,000 VONOVIA SE CALLABLE MEDIUM TERM NOTE FIXED 0.750%

01/09/2032 99,472.17 96,908.90 0.19% Total Germany 5,216,179.12 5,239,569.66 10.39% Iceland

EUR 255,000 ARION BANKI HF MEDIUM TERM NOTE FIXED 0.625% 27/05/24 254,832.91 256,148.52 0.50% EUR 113,000 ISLANDSBANKI HF MEDIUM TERM NOTE FIXED 0.500% 20/11/23 112,993.98 113,811.45 0.23%

Total Iceland 367,826.89 369,959.97 0.73% Ireland

EUR 200,000 AIB GROUP PLC CALLABLE MEDIUM TERM NOTE VARIABLE 17/11/27 199,834.38 198,570.20 0.39%

EUR 100,000 AIB GROUP PLC MEDIUM TERM NOTE FIXED 1.500% 29/03/23 99,957.06 102,041.20 0.20% EUR 210,000 BANK OF IRELAND GROUP PLC CALLABLE MEDIUM TERM 1.000%

25/11/25 209,853.91 214,194.12 0.42% EUR 125,000 BANK OF IRELAND GROUP PLC CALLABLE MEDIUM TERM

VARIABLE 10/05/27 124,586.18 123,420.13 0.24% EUR 300,000 CRH SMW FINANCE DAC CALLABLE MEDIUM TERM NOTE 1.250%

05/11/26 307,923.61 313,047.00 0.64% Total Ireland 942,155.14 951,272.65 1.89% Italy

EUR 150,000 2I RETE GAS SPA CALLABLE MEDIUM TERM NOTE FIXED 0.579% 29/01/31 150,000.00 144,775.80 0.29%

EUR 200,000 ASSICURAZIONI GENERALI SPA CALLABLE MEDIUM TERM 1.713% 30/06/32 200,000.00 197,523.80 0.39%

EUR 200,000 ASSICURAZIONI GENERALI SPA MEDIUM TERM NOTE FIXED 4.125% 04/05/26 218,145.56 229,365.00 0.45%

EUR 200,000 ENEL FINANCE INTERNATIONAL NV CALLABLE MEDIUM TERM 0.000% 17/06/27 198,022.23 195,384.40 0.39%



EUR 160,000 ENEL SPA CALLABLE NOTES VARIABLE 2.250% 31/12/64 158,829.61 165,566.40 0.33% EUR 350,000 FCA BANK SPA/IRELAND CALLABLE MEDIUM TERM NOTE 0.500%

18/09/23 351,442.54 352,679.95 0.70% EUR 164,000 HERA SPA CALLABLE MEDIUM TERM NOTE FIXED 0.250% 03/12/30 162,593.16 156,398.27 0.31% EUR 170,000 INFRASTRUTTURE WIRELESS ITALIANE SPA CALLABLE 1.875%

08/07/26 169,756.72 175,846.81 0.35% EUR 180,000 INTESA SANPAOLO SPA MEDIUM TERM NOTE FIXED 1.000%

19/11/26 179,621.53 183,279.24 0.36% EUR 200,000 ITALGAS SPA MEDIUM TERM NOTE FIXED 0.250% 24/06/25 198,897.43 200,645.00 0.40% EUR 300,000 TELECOM ITALIA SPA/MILANO MEDIUM TERM NOTE FIXED

3.625% 19/01/24 311,138.16 312,222.00 0.62% EUR 100,000 TERNA RETE ELETTRICA NAZIONALE SPA MEDIUM TERM 1.375%

26/07/27 99,779.98 105,193.50 0.21%





116


Cost EUR

Market Value EUR


EUR 100,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

1.250% 25/06/25 102,739.23 102,442.30 0.20% EUR 200,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

4.375% 03/01/27 200,230.75 200,000.00 0.40% EUR 250,000 UNIONE DI BANCHE ITALIANE SPA MEDIUM TERM NOTE 1.625%

21/04/25 249,655.55 258,815.75 0.51% Total Italy 3,150,094.02 3,177,003.22 6.30% Japan

EUR 200,000 ASAHI GROUP HOLDINGS LTD CALLABLE NOTES FIXED 0.155% 23/10/24 200,000.00 200,642.20 0.40%

EUR 200,000 TAKEDA PHARMACEUTICAL CO LTD CALLABLE NOTES FIXED 1.000% 09/07/29 208,498.68 205,040.40 0.40%

Total Japan 408,498.68 405,682.60 0.80% Luxembourg

EUR 200,000 BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 0.125% 20/10/2023 199,864.67 199,764.60 0.38%

EUR 197,000 BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 1.000% 04/05/28 196,880.54 192,395.72 0.38%

EUR 100,000 EUROFINS SCIENTIFIC SE CALLABLE BOND VARIABLE EUR PERP 107,851.45 104,957.30 0.21% EUR 100,000 GRAND CITY PROPERTIES SA CALLABLE MEDIUM TERM NOTE

1.500% 22/02/27 98,353.62 104,537.27 0.21% EUR 200,000 GRAND CITY PROPERTIES SA CALLABLE MEDIUM TERM NOTE

1.500% 31/12/64 196,968.35 194,483.60 0.39% EUR 125,000 PROLOGIS INTERNATIONAL FUNDING II SA CALLABLE 0.750%

23/03/33 124,534.48 119,585.00 0.24% EUR 100,000 SELP FINANCE SARL CALLABLE BOND FIXED 1.500% 20/11/2025 104,604.66 103,783.80 0.21%

Total Luxembourg 1,029,057.77 1,019,507.29 2.02% Mexico

EUR 100,000 AMERICA MOVIL SAB DE CV CALLABLE BOND VARIABLE 6.375% 06/09/73 114,820.14 110,033.00 0.22%

EUR 100,000 NEMAK SAB DE CV CALLABLE NOTES FIXED 2.250% 20/07/2028 100,000.00 96,800.00 0.19% EUR 100,000 PETROLEOS MEXICANOS CALLABLE MEDIUM TERM NOTE 1.875%

21/04/22 99,775.05 100,333.60 0.20% Total Mexico 314,595.19 307,166.60 0.61% Norway

EUR 100,000 AKER BP ASA CALLABLE MEDIUM TERM NOTE FIXED 1.125% 12/05/29 99,408.80 99,562.16 0.20%

EUR 240,000 TELENOR ASA CALLABLE MEDIUM TERM NOTE FIXED 0.875% 14/02/35 239,032.80 238,781.28 0.47%

Total Norway 338,441.60 338,343.44 0.67% Portugal

EUR 100,000 BRISA-CONCESSAO RODOVIARIA SA MEDIUM TERM NOTE 1.875% 30/04/2025 105,575.76 105,079.20 0.21%

EUR 300,000 BRISA CONCESSAO RODOVIARIA SA MEDIUM TERM NOTE 2.375% 10/05/27 311,365.91 330,968.40 0.65%

EUR 200,000 CAIXA GERAL DE DEPOSITOS SA CALLABLE MEDIUM TERM 0.375% 21/09/2027 199,717.98 196,751.25 0.39%

EUR 100,000 EDP - ENERGIAS DE PORTUGAL SA CALLABLE MEDIUM TERM 1.625% 15/04/27 99,535.24 106,282.50 0.21%





117


Cost EUR

Market Value EUR


EUR 100,000 EDP - ENERGIAS DE PORTUGAL SA CALLABLE NOTES 1.700%

20/07/80 99,751.27 99,435.60 0.20% EUR 100,000 EDP - ENERGIAS DE PORTUGAL SA CALLABLE NOTES 4.496%

30/04/79 100,000.00 107,006.00 0.21% Total Portugal 915,946.16 945,522.95 1.87% Slovakia

EUR 100,000 SPP-DISTRIBUCIA AS CALLABLE BOND FIXED 1.000% 09/06/31 99,635.23 98,597.70 0.20% Total Slovakia 99,635.23 98,597.70 0.20% Spain

EUR 100,000 BANCO DE SABADELL SA MEDIUM TERM NOTE FIXED 1.750% 10/05/24 99,898.37 102,457.90 0.20%

EUR 200,000 BANCO SANTANDER SA MEDIUM TERM NOTE FIXED 1.375% 05/01/26 199,453.35 207,863.00 0.41%

EUR 200,000 BANKIA SA CALLABLE MEDIUM TERM NOTE VARIABLE 3.750% 15/02/29 200,000.00 212,216.80 0.42%

EUR 200,000 BANKINTER SA BOND FIXED EUR 0.625% 06/10/27 199,442.44 199,603.40 0.40% EUR 300,000 BANKINTER SA CALLABLE BOND VARIABLE 2.500% 06/04/27 303,687.10 301,883.70 0.60% EUR 200,000 CANAL DE ISABEL II GESTION SA MEDIUM TERM NOTE 1.680%

26/02/25 210,184.64 208,498.80 0.41% EUR 100,000 CELLNEX FINANCE CO SA CALLABLE MEDIUM TERM NOTE

0.750% 15/11/26 99,353.49 98,148.00 0.19% EUR 100,000 CELLNEX FINANCE CO SA CALLABLE MEDIUM TERM NOTE


1.500% 08/06/28 99,620.22 98,078.80 0.19% EUR 200,000 CEPSA FINANCE SA CALLABLE MEDIUM TERM NOTE FIXED

0.750% 12/02/28 199,125.85 195,142.20 0.39% EUR 100,000 FCC AQUALIA SA CALLABLE BOND FIXED 1.413% 08/06/22 100,000.00 100,259.60 0.20% EUR 100,000 FCC AQUALIA SA CALLABLE BOND FIXED 2.629% 08/06/27 105,106.74 109,741.80 0.22% EUR 120,000 FCC SERVICIOS MEDIO AMBIENTE HOLDING SA CALLABLE

0.815% 04/12/23 120,000.00 121,634.40 0.24% EUR 170,000 FCC SERVICIOS MEDIO AMBIENTE HOLDING SA CALLABLE

1.661% 04/12/26 170,000.00 178,810.59 0.35% EUR 100,000 KUTXABANK SA BOND FIXED EUR 100000 0.500% 25/09/24 99,685.63 100,970.70 0.20% EUR 100,000 MADRILENA RED DE GAS FINANCE BV CALLABLE MEDIUM

2.250% 11/04/2029 108,293.38 105,297.40 0.21% EUR 200,000 NORTEGAS ENERGIA DISTRIBUCION SA CALLABLE MEDIUM

0.905% 22/01/31 200,000.00 195,037.00 0.39% EUR 100,000 REPSOL EUROPE FINANCE SARL CALLABLE MEDIUM TERM

0.375% 06/07/29 99,135.95 98,546.74 0.20% EUR 100,000 REPSOL INTERNATIONAL FINANCE BV CALLABLE NOTES 3.750%

31/12/64 100,000.00 105,800.00 0.21% EUR 100,000 TELEFONICA EMISIONES SA CALLABLE BOND FIXED 1.957%

01/07/39 100,000.00 110,112.00 0.22% EUR 100,000 TELEFONICA EMISIONES SA CALLABLE MEDIUM TERM NOTE

1.807% 21/05/32 100,000.00 108,672.40 0.22% EUR 200,000 TELEFONICA EUROPE BV CALLABLE BOND VARIABLE EUR

4.375% 31/12/64 200,000.00 215,250.00 0.43% EUR 100,000 UNICAJA BANCO SA CALLABLE NOTES VARIABLE 2.875% 13/11/29 100,000.00 101,383.00 0.20%


EUR 100,000 BALDER FINLAND OYJ CALLABLE MEDIUM TERM NOTE FIXED 1.375% 24/05/30 99,399.04 98,028.80 0.19%

EUR 100,000 CASTELLUM AB CALLABLE NOTES VARIABLE EUR 3.125% PERP 100,000.00 95,825.00 0.19%





118


Cost EUR

Market Value EUR


EUR 100,000 HEIMSTADEN BOSTAD AB CALLABLE MEDIUM TERM NOTE

2.125% 05/09/23 103,460.86 103,313.80 0.20% EUR 112,000 HEIMSTADEN BOSTAD TREASURY BV CALLABLE MEDIUM TERM

0.250% 13/10/2024 111,987.54 112,195.33 0.22% EUR 100,000 HEIMSTADEN BOSTAD TREASURY BV CALLABLE MEDIUM TERM

0.750% 06/09/2029 98,990.28 95,790.54 0.19% EUR 100,000 SAMHALLSBYGGNADSBOLAGET I NORDEN AB CALLABLE 1.750%

14/01/25 104,416.75 103,317.80 0.20% EUR 100,000 SBB TREASURY OYJ CALLABLE MEDIUM TERM NOTE FIXED

1.125% 26/11/29 98,717.34 96,726.60 0.19% EUR 190,000 SVENSKA HANDELSBANKEN AB NOTES FIXED 0.050% 03/09/26 189,752.63 188,477.72 0.39%

Total Sweden 906,724.44 893,675.59 1.77% Switzerland

EUR 100,000 ARGENTUM NETHERLANDS BV FOR SWISS LIFE AG CALLABLE VARIABLE PERP 112,863.71 111,187.50 0.22%

EUR 300,000 BANK JULIUS BAER & CO AG BOND FIXED 0.000% 25/06/24 300,059.42 299,906.10 0.58% EUR 110,000 CREDIT SUISSE GROUP AG CALLABLE MEDIUM TERM NOTE

1.000% 24/06/27 109,730.67 111,483.90 0.22% EUR 200,000 CREDIT SUISSE GROUP AG CALLABLE MEDIUM TERM NOTE

1.250% 17/07/25 199,463.41 204,527.00 0.41% EUR 167,000 NESTLE FINANCE INTERNATIONAL LTD CALLABLE MEDIUM

0.625% 14/02/34 166,170.07 165,330.17 0.33% EUR 200,000 SWISS LIFE FINANCE I LTD CALLABLE NOTES FIXED 0.500%

15/09/2031 199,002.26 194,730.60 0.39% EUR 200,000 UBS AG/LONDON MEDIUM TERM NOTE FIXED 0.010% 31/03/26 199,838.25 198,354.00 0.39% EUR 200,000 UBS GROUP AG CALLABLE MEDIUM TERM NOTE VARIABLE

0.250% 05/11/28 198,621.46 196,682.20 0.39% EUR 200,000 UBS GROUP AG NOTES FIXED 0.875% 03/11/2031 199,868.51 199,385.80 0.40%


EUR 200,000 ABN AMRO BANK NV MEDIUM TERM NOTE FIXED 0.500% 23/09/2029 199,383.52 197,820.00 0.39%

EUR 200,000 CNH INDUSTRIAL FINANCE EUROPE SA CALLABLE NOTES 0.000% 01/04/24 199,879.85 199,586.80 0.40%

EUR 200,000 COOPERATIEVE RABOBANK UA CALLABLE BOND VARIABLE 3.250% 31/12/64 200,000.00 205,436.80 0.41%

EUR 100,000 COOPERATIEVE RABOBANK UA CALLABLE MEDIUM TERM NOTE 0.375% 01/12/2027 99,626.34 99,739.30 0.20%

EUR 150,000 CTP NV CALLABLE MEDIUM TERM NOTE FIXED 0.625% 27/09/2026 149,974.05 148,353.45 0.29% EUR 100,000 DE VOLKSBANK NV CALLABLE MEDIUM TERM NOTE FIXED

0.250% 22/06/26 99,484.37 99,354.10 0.20% EUR 200,000 DE VOLKSBANK NV CALLABLE MEDIUM TERM NOTE FIXED

0.375% 03/03/28 198,817.18 196,637.60 0.39% EUR 100,000 DE VOLKSBANK NV CALLABLE MEDIUM TERM NOTE VARIABLE

1.750% 22/10/30 99,968.34 103,690.50 0.21% EUR 200,000 ING GROEP NV CALLABLE NOTES VARIABLE 0.375% 29/09/2028 198,628.42 196,843.80 0.39% EUR 100,000 ING GROEP NV CALLABLE NOTES VARIABLE 1.000% 13/11/30 99,858.69 100,465.40 0.20% EUR 100,000 NIBC BANK NV MEDIUM TERM NOTE FIXED 0.250% 09/09/2026 99,930.80 98,631.00 0.20% EUR 200,000 NIBC BANK NV MEDIUM TERM NOTE FIXED 2.000% 09/04/24 197,801.75 208,380.80 0.41% EUR 100,000 NN GROUP NV CALLABLE MEDIUM TERM NOTE FIXED 0.875%

23/11/2031 99,792.70 100,035.00 0.20% EUR 100,000 NN GROUP NV CALLABLE MEDIUM TERM NOTE VARIABLE

4.625% 13/01/48 108,000.54 117,125.00 0.23% EUR 100,000 POSTNL NV CALLABLE NOTES FIXED 0.625% 23/09/26 99,527.54 101,607.50 0.20% EUR 300,000 REN FINANCE BV CALLABLE MEDIUM TERM NOTE FIXED 0.500%

16/04/29 298,824.07 298,782.30 0.58% EUR 200,000 STELLANTIS NV MEDIUM TERM NOTE FIXED 3.750% 29/03/24 216,035.10 216,048.80 0.43% EUR 200,000 TENNET HOLDING BV CALLABLE BOND VARIABLE 2.374%

31/12/64 200,000.00 208,000.00 0.41%





119


Cost EUR

Market Value EUR


EUR 100,000 TENNET HOLDING BV CALLABLE MEDIUM TERM NOTE FIXED

0.500% 09/06/31 99,234.71 99,232.60 0.20% EUR 250,000 UPJOHN FINANCE BV CALLABLE NOTES FIXED 1.362% 23/06/27 263,674.40 258,004.25 0.51% EUR 100,000 UPJOHN FINANCE BV CALLABLE NOTES FIXED 1.908% 23/06/32 108,733.83 104,745.20 0.21% EUR 100,000 VESTEDA FINANCE BV CALLABLE MEDIUM TERM NOTE FIXED

0.750% 18/10/2031 98,641.68 98,849.70 0.20% EUR 100,000 VOLKSWAGEN INTERNATIONAL FINANCE NV MEDIUM TERM

3.300% 22/03/33 110,099.18 123,354.30 0.24% Total The Netherlands 3,545,917.06 3,580,724.20 7.10% United Kingdom

EUR 300,000 ANGLO AMERICAN CAPITAL PLC MEDIUM TERM NOTE FIXED 3.250% 03/04/23 307,738.67 312,613.50 0.62%

EUR 146,000 ASTRAZENECA PLC CALLABLE MEDIUM TERM NOTE FIXED 0.375% 03/06/29 145,438.52 145,741.58 0.29%

EUR 100,000 BARCLAYS PLC CALLABLE NOTES VARIABLE 0.577% 09/08/2029 100,000.00 97,754.70 0.19% EUR 100,000 BP CAPITAL MARKETS BV NOTES FIXED 1.467% 21/09/2041 100,000.00 97,636.00 0.19% EUR 160,000 BP CAPITAL MARKETS PLC MEDIUM TERM NOTE FIXED 1.231%

08/05/31 160,000.00 165,732.64 0.34% EUR 300,000 BP CAPITAL MARKETS PLC MEDIUM TERM NOTE FIXED 1.573%

16/02/27 306,986.74 318,497.40 0.66% EUR 300,000 CADENT FINANCE PLC CALLABLE MEDIUM TERM NOTE FIXED

0.625% 22/09/2024 305,020.57 304,507.50 0.60% EUR 100,000 CADENT FINANCE PLC MEDIUM TERM NOTE FIXED 0.750%

11/03/32 98,843.53 97,166.20 0.19% EUR 150,000 CCEP FINANCE IRELAND DAC CALLABLE BOND FIXED 0.000%

06/09/25 149,994.41 148,818.60 0.30% EUR 300,000 DS SMITH PLC CALLABLE MEDIUM TERM NOTE FIXED 0.875%

12/09/26 305,924.02 304,491.60 0.60% EUR 186,000 IMPERIAL BRANDS FINANCE NETHERLANDS BV CALLABLE

1.750% 18/03/33 184,478.38 181,833.60 0.36% EUR 150,000 IMPERIAL BRANDS FINANCE PLC CALLABLE MEDIUM TERM

1.125% 14/08/23 149,707.95 152,180.55 0.30% EUR 230,000 LLOYDS BANK CORPORATE MARKETS PLC MEDIUM TERM NOTE

0.375% 28/01/25 229,889.26 232,215.82 0.46% EUR 150,000 LLOYDS BANKING GROUP PLC CALLABLE MEDIUM TERM NOTE

0.500% 12/11/25 149,456.76 151,628.70 0.30% EUR 100,000 NATIONAL GRID PLC CALLABLE MEDIUM TERM NOTE FIXED

0.750% 01/09/2033 98,710.88 97,436.60 0.19% EUR 200,000 NATIONWIDE BUILDING SOCIETY MEDIUM TERM NOTE FIXED

0.25% 14/09/2028 199,167.44 196,726.71 0.39% EUR 100,000 NATWEST MARKETS PLC MEDIUM TERM NOTE FIXED 0.125%

12/11/2025 99,804.55 99,446.70 0.20% EUR 200,000 OMNICOM FINANCE HOLDINGS PLC CALLABLE MEDIUM TERM

0.800% 08/07/27 199,929.51 202,509.20 0.40% EUR 300,000 ROYAL BANK OF SCOTLAND GROUP PLC CALLABLE BOND

0.750% 15/11/25 299,659.56 304,367.40 0.60% EUR 100,000 SANTANDER UK GROUP HOLDINGS PLC CALLABLE MEDIUM

0.603% 13/09/2029 100,000.00 97,892.50 0.19% EUR 150,000 SHELL INTERNATIONAL FINANCE BV MEDIUM TERM NOTE

0.875% 08/11/39 147,676.61 137,973.30 0.27% EUR 150,000 SSE PLC CALLABLE MEDIUM TERM NOTE FIXED 1.750% 16/04/30 162,691.22 161,908.35 0.32% EUR 150,000 VODAFONE GROUP PLC CALLABLE NOTES VARIABLE 2.625%

27/08/80 150,000.00 153,000.00 0.30% EUR 100,000 VODAFONE GROUP PLC MEDIUM TERM NOTE FIXED 1.600%



20/11/37 120,840.48 118,102.60 0.23% Total United Kingdom 4,480,029.64 4,499,538.45 8.92%





120


Cost EUR

Market Value EUR



EUR 100,000 ABBOTT IRELAND FINANCING DAC CALLABLE BOND FIXED 1.500% 27/09/26 99,986.78 106,258.50 0.21%

EUR 400,000 ABBVIE INC CALLABLE BOND FIXED 1.375% 17/05/24 409,720.83 412,215.60 0.82% EUR 100,000 ABBVIE INC CALLABLE NOTES FIXED 2.625% 15/11/28 113,533.12 113,749.90 0.23% EUR 300,000 AMERICAN TOWER CORP CALLABLE BOND FIXED 1.375% 04/04/25 308,067.37 310,287.90 0.62% EUR 200,000 AMERICAN TOWER CORP CALLABLE NOTES FIXED 0.450%

15/01/27 199,613.67 197,844.60 0.39% EUR 150,000 AT&T INC CALLABLE NOTES FIXED EUR 0.250% 04/03/26 149,698.06 149,710.50 0.30% EUR 180,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE

0.654% 26/10/31 180,000.00 175,625.42 0.35% EUR 100,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE

1.379% 07/02/25 100,000.00 102,855.20 0.20% EUR 250,000 BECTON DICKINSON AND CO CALLABLE BOND FIXED 1.900%

15/12/26 269,065.68 267,692.25 0.53% EUR 100,000 BECTON DICKINSON EURO FINANCE SARL CALLABLE NOTES

0.334% 13/08/2028 100,000.00 98,378.60 0.20% EUR 100,000 BOOKING HOLDINGS INC CALLABLE NOTES FIXED 0.100%

08/03/25 99,981.58 100,107.24 0.20% EUR 150,000 BORGWARNER INC CALLABLE NOTES FIXED 1.000% 19/05/31 148,505.66 147,550.65 0.29% EUR 400,000 CITIGROUP INC CALLABLE MEDIUM TERM NOTE VARIABLE

1.250% 06/07/26 398,567.39 413,578.20 0.82% EUR 104,000 COCA-COLA CO/THE CALLABLE NOTES FIXED 0.125% 09/03/29 103,100.89 101,774.61 0.20% EUR 100,000 COCA-COLA CO/THE CALLABLE NOTES FIXED 0.400% 06/05/30 99,681.39 98,692.10 0.20% EUR 100,000 COCA-COLA EUROPEAN PARTNERS PLC CALLABLE NOTES 1.875%

18/03/30 98,801.60 109,003.40 0.22% EUR 200,000 COCA-COLA EUROPEAN PARTNERS PLC CALLABLE NOTES 2.750%

06/05/26 221,941.52 220,228.40 0.44% EUR 100,000 COLGATE-PALMOLIVE CO CALLABLE MEDIUM TERM NOTE

0.300% 10/11/2029 99,706.98 99,539.40 0.20% EUR 200,000 COMCAST CORP CALLABLE BOND FIXED 0.250% 14/09/2029 198,351.67 196,373.93 0.39% EUR 200,000 COMCAST CORP CALLABLE NOTES FIXED 0.000% 14/09/2026 199,411.26 197,466.00 0.39% EUR 100,000 DANAHER CORP CALLABLE NOTES FIXED 1.700% 30/03/24 99,962.30 103,917.00 0.21% EUR 100,000 DH EUROPE FINANCE II SARL CALLABLE BOND FIXED 1.350%

18/09/39 107,998.24 99,969.30 0.20% EUR 200,000 DH EUROPE FINANCE SARL CALLABLE NOTES FIXED 1.200%

30/06/27 211,338.08 209,269.80 0.41% EUR 100,000 DIGITAL EURO FINCO LLC CALLABLE BOND FIXED 2.500%

16/01/26 99,976.03 108,056.40 0.21% EUR 200,000 DIGITAL EURO FINCO LLC CALLABLE NOTES FIXED 1.125%

09/04/28 200,534.99 203,105.40 0.40% EUR 158,000 FEDEX CORP CALLABLE BOND FIXED 0.450% 04/05/29 157,457.09 155,617.88 0.31% EUR 200,000 FIDELITY NATIONAL INFORMATION SERVICES INC 0.625%

03/12/25 200,332.80 202,547.60 0.40% EUR 100,000 FIDELITY NATIONAL INFORMATION SERVICES INC 1.500%

21/05/27 105,553.95 104,601.40 0.21% EUR 200,000 FISERV INC CALLABLE NOTES FIXED 1.625% 01/07/30 206,640.12 211,875.00 0.42% EUR 120,000 FRESENIUS MEDICAL CARE AG & CO KGAA CALLABLE 0.250%

29/11/23 119,942.97 120,709.80 0.24% EUR 100,000 GENERAL MOTORS FINANCIAL CO INC CALLABLE NOTES 0.600%



26/02/26 309,577.14 313,531.83 0.62% EUR 200,000 GOLDMAN SACHS GROUP INC/THE CALLABLE MEDIUM TERM

0.875% 09/05/2029 199,861.03 200,971.20 0.40% EUR 150,000 GOLDMAN SACHS GROUP INC/THE MEDIUM TERM NOTE FIXED

0.125% 19/08/24 149,598.17 150,333.15 0.30% EUR 200,000 JPMORGAN CHASE & CO CALLABLE MEDIUM TERM NOTE 1.090%

11/03/27 200,000.00 205,990.80 0.41% EUR 300,000 KINDER MORGAN INC CALLABLE NOTES FIXED 2.250% 16/03/27 330,179.21 326,138.10 0.65% EUR 200,000 KRAFT HEINZ FOODS CO CALLABLE NOTES FIXED 2.000% 30/06/23 205,120.08 204,768.00 0.41%





121


Cost EUR

Market Value EUR


EUR 200,000 MCDONALD'S CORP CALLABLE MEDIUM TERM NOTE FIXED

0.250% 04/10/2028 198,713.64 196,834.40 0.39% EUR 100,000 MCDONALD'S CORP CALLABLE MEDIUM TERM NOTE FIXED

0.875% 04/10/2033 99,678.80 97,965.10 0.19% EUR 200,000 MOLSON COORS BEVERAGE CO CALLABLE BOND FIXED 1.250%

15/07/24 205,645.88 204,855.60 0.41% EUR 100,000 MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV

0.250% 09/09/2029 99,583.83 97,768.70 0.19% EUR 160,000 MORGAN STANLEY CALLABLE MEDIUM TERM NOTE VARIABLE

0.637% 26/07/24 160,000.00 161,915.04 0.32% EUR 100,000 MORGAN STANLEY CALLABLE NOTES VARIABLE 0.495% 26/10/29 100,000.00 98,290.50 0.19% EUR 200,000 MORGAN STANLEY CALLABLE NOTES VARIABLE 1.102%

29/04/2033 200,000.00 200,224.88 0.40% EUR 200,000 MORGAN STANLEY CALLABLE NOTES VARIABLE 29/10/27 200,000.00 198,833.00 0.39% EUR 100,000 NETFLIX INC CALLABLE NOTES FIXED 3.625% 15/05/2027 114,084.03 115,027.60 0.23% EUR 100,000 PEPSICO INC CALLABLE NOTES FIXED 0.750% 14/10/2033 99,675.66 99,731.00 0.20% EUR 100,000 PHILIP MORRIS INTERNATIONAL INC CALLABLE NOTES 0.800%

01/08/31 101,175.33 96,489.40 0.19% EUR 100,000 PROCTER & GAMBLE CO/THE CALLABLE NOTES FIXED 0.900%

04/11/2041 101,532.07 98,022.10 0.19% EUR 100,000 PROLOGIS EURO FINANCE LLC CALLABLE NOTES FIXED 0.250%

10/09/27 99,096.95 99,186.20 0.20% EUR 100,000 THERMO FISHER SCIENTIFIC FINANCE I BV CALLABLE 1.125%

18/10/2033 99,737.14 101,695.80 0.20% EUR 100,000 VERIZON COMMUNICATIONS INC CALLABLE BOND FIXED 0.875%

08/04/27 102,991.89 102,750.10 0.20% EUR 203,000 VERIZON COMMUNICATIONS INC CALLABLE NOTES FIXED

0.375% 22/03/29 202,397.00 199,818.18 0.40% EUR 150,000 VERIZON COMMUNICATIONS INC CALLABLE NOTES FIXED

1.850% 18/05/40 149,976.19 157,526.25 0.31% EUR 200,000 VF CORP CALLABLE NOTES FIXED EUR 0.250% 25/02/28 198,356.14 196,141.00 0.39% EUR 150,000 VF CORP CALLABLE NOTES FIXED EUR 0.625% 25/02/32 148,317.90 144,986.25 0.29% EUR 250,000 WELLS FARGO & CO MEDIUM TERM NOTE FIXED 0.500% 26/04/24 253,041.37 252,814.00 0.50%

Total United States of America 9,735,248.83 9,757,242.06 19.37% Total Bonds 48,380,340.97 48,723,511.05 96.62% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 48,380,340.97 48,723,511.05 96.62% Total investments 48,380,340.97 48,723,511.05 96.62%



122


United States of America 19.37% France 16.59% Germany 10.39% United Kingdom 8.92% The Netherlands 7.10% Spain 6.69% Italy 6.30% Switzerland 3.33% Belgium 2.55% Denmark 2.16% Luxembourg 2.02% Ireland 1.89% Portugal 1.87% Sweden 1.77% Austria 1.39% Finland 1.27% Japan 0.80% Iceland 0.73% Norway 0.67% Mexico 0.61% Slovakia 0.20%

Total 96.62%



123


% of Net Assets

Banks 29.49% Electricity 8.46% Telecommunications 5.96% Insurance 4.58% Real estate 4.53% Pharmaceuticals 4.16% Auto manufacturers 3.99% Beverages 3.73% Oil and gas 3.07% REITs 2.42% Water 2.03% Commercial services 1.91% Gas 1.69% Food 1.56% Diversified financial services 1.48% Healthcare products 1.43% Engineering and construction 1.32% Building materials 1.27% Software 1.03% Auto parts and equipment 0.99% Media 0.98% Transportation 0.90% Agriculture 0.85% Computers 0.82% Packaging and containers 0.80% Private Equity 0.76% Apparel 0.68% Healthcare services 0.66% Pipelines 0.65% Internet 0.63% Mining 0.62% Environmental control 0.59% Retail 0.58% Semiconductors 0.42% Advertising 0.40% Machinery-diversified 0.40% Cosmetics and personal care 0.39% Savings and loans 0.39%

Total 96.62%




124

SANTAND ER AM EU RO EQUITY SANTANDER AM EU RO EQUITY




Cost EUR

Market Value EUR


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Equities Austria

EUR 148,983 OMV AG 6,886,739.35 7,441,700.85 1.11% Total Austria 6,886,739.35 7,441,700.85 1.11% Belgium

EUR 114,247 ANHEUSER-BUSCH INBEV SA/NV 6,861,281.68 6,074,512.99 0.91% Total Belgium 6,861,281.68 6,074,512.99 0.91% Finland

EUR 299,450 UPM-KYMMENE OYJ 8,003,119.28 10,019,597.00 1.50% Total Finland 8,003,119.28 10,019,597.00 1.50% France

EUR 92,540 AMUNDI SA 5,612,425.16 6,713,777.00 1.00% EUR 71,017 ARKEMA SA 6,189,216.30 8,795,455.45 1.31% EUR 392,933 AXA SA 8,962,934.02 10,288,950.61 1.54% EUR 203,966 BNP PARIBAS SA 9,585,121.06 12,395,013.82 1.85% EUR 291,640 BUREAU VERITAS SA 6,269,554.80 8,510,055.20 1.27% EUR 81,964 CAPGEMINI SE 8,833,292.92 17,663,242.00 2.64% EUR 612,827 CARREFOUR SA 9,802,816.22 9,869,578.84 1.47% EUR 247,251 CIE DE SAINT-GOBAIN 10,284,575.82 15,297,419.37 2.28% EUR 84,800 CIE GENERALE DES ETABLISSEMENTS MICHELIN 8,505,242.25 12,223,920.00 1.82% EUR 689,784 CREDIT AGRICOLE SA 6,593,073.87 8,656,789.20 1.29% EUR 37,012 EIFFAGE SA 2,929,393.05 3,348,105.52 0.50% EUR 132,595 FAURECIA SA 6,011,637.68 5,546,448.85 0.83% EUR 47,553 LVMH MOET HENNESSY LOUIS VUITTON SE 16,911,962.21 34,571,031.00 5.15% EUR 200,779 PUBLICIS GROUPE SA 8,373,830.21 11,886,116.80 1.77% EUR 197,356 SANOFI 16,025,158.59 17,481,794.48 2.61% EUR 101,010 SODEXO SA 7,714,534.21 7,783,830.60 1.16% EUR 47,973 TELEPERFORMANCE 8,246,233.04 18,805,416.00 2.81% EUR 494,642 TOTAL SA 18,331,341.29 22,075,872.46 3.29% EUR 66,587 WORLDLINE SA/FRANCE 3,349,380.95 3,263,428.87 0.49%


EUR 41,794 ADIDAS AG 11,333,636.58 10,582,240.80 1.58% EUR 139,387 BAYER AG 9,196,152.71 6,551,189.00 0.98% EUR 163,485 DAIMLER AG 9,905,167.46 11,049,951.15 1.65% EUR 1,060 DAIMLER TRUCK HOLDING AG 24,619.76 34,227.40 0.01% EUR 68,614 DEUTSCHE BOERSE AG 9,811,469.82 10,093,119.40 1.51% EUR 338,311 DEUTSCHE POST AG 9,202,624.69 19,128,103.94 2.85% EUR 542,533 DEUTSCHE TELEKOM AG 8,136,009.79 8,843,287.90 1.32% EUR 989,154 E.ON SE 9,282,893.39 12,059,765.57 1.80% EUR 204,114 FRESENIUS SE & CO KGAA 8,081,784.97 7,225,635.60 1.08% EUR 380,219 INFINEON TECHNOLOGIES AG 9,136,149.22 15,497,726.44 2.31% EUR 83,482 KION GROUP AG 5,667,782.05 8,054,343.36 1.20% EUR 93,359 LANXESS AG 5,827,940.31 5,088,065.50 0.76% EUR 19,424 MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG IN 4,712,007.93 5,059,952.00 0.76% EUR 63,922 SAP SE 6,570,399.62 7,983,857.80 1.19%





125


Cost EUR

Market Value EUR


EUR 140,351 SIEMENS AG 12,976,368.94 21,428,790.68 3.19% EUR 35,450 VOLKSWAGEN AG PREFERENCE 5,831,170.34 6,291,666.00 0.94%


EUR 252,236 CRH PLC 6,709,237.33 11,734,018.72 1.75% EUR 69,993 LINDE PLC 13,905,588.49 21,417,858.00 3.20%

Total Ireland 20,614,825.82 33,151,876.72 4.95% Italy

EUR 1,271,305 ENEL SPA 8,102,136.25 8,957,615.03 1.34% EUR 2,617,930 INTESA SANPAOLO SPA 5,837,675.60 5,953,172.82 0.89%

Total Italy 13,939,811.85 14,910,787.85 2.23% Portugal

EUR 2,125,459 EDP - ENERGIAS DE PORTUGAL SA 7,525,827.83 10,270,217.89 1.53% Total Portugal 7,525,827.83 10,270,217.89 1.53% Spain

EUR 703,501 ACERINOX SA 6,589,057.53 8,009,358.89 1.20% EUR 3,273,425 BANCO SANTANDER SA 12,136,905.40 9,625,506.21 1.43% EUR 265,112 INDUSTRIA DE DISENO TEXTIL SA 6,859,099.05 7,563,645.36 1.13%

Total Spain 25,585,061.98 25,198,510.46 3.76% The Netherlands

EUR 3,851 ADYEN NV 9,680,667.58 8,901,586.50 1.33% EUR 135,539 AIRBUS SE 14,659,127.42 15,229,162.04 2.27% EUR 60,937 ASML HOLDING NV 15,894,033.13 43,064,177.90 6.43% EUR 765,187 ING GROEP NV 6,075,216.47 9,367,419.25 1.40% EUR 33,536 KONINKLIJKE DSM NV 6,523,005.38 6,640,128.00 0.99% EUR 152,977 KONINKLIJKE PHILIPS NV 6,398,198.60 5,012,291.41 0.75% EUR 331,606 ROYAL DUTCH SHELL PLC 6,508,193.17 6,403,311.86 0.96% EUR 105,804 SIGNIFY NV 2,655,081.86 4,314,687.12 0.64% EUR 635,115 STELLANTIS NV 8,141,930.28 10,592,447.97 1.58% EUR 333,400 UNIVERSAL MUSIC GROUP NV 8,157,410.49 8,261,652.00 1.23%

Total The Netherlands 84,692,864.38 117,786,864.05 17.58% Total Equities 468,337,433.40 615,002,236.42 91.78% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 468,337,433.40 615,002,236.42 91.78% Total investments 468,337,433.40 615,002,236.42 91.78%



126


France 35.08% Germany 23.13% The Netherlands 17.58% Ireland 4.95% Spain 3.76% Italy 2.23% Portugal 1.53% Finland 1.50% Austria 1.11% Belgium 0.91%

Total 91.78%


% of Net Assets

Semiconductors 8.74% Banks 6.86% Apparel 6.73% Chemicals 6.26% Computers 5.45% Oil and gas 5.36% Electricity 4.67% Auto manufacturers 4.18% Building materials 4.03% Pharmaceuticals 3.59% Miscellaneous manufacture 3.19% Commercial services 3.09% Transportation 2.85% Auto parts and equipment 2.65% Diversified financial services 2.51% Insurance 2.30% Aerospace and defense 2.27% Advertising 1.77% Forest products and paper 1.50% Food 1.47% Telecommunications 1.32% Entertainment 1.23% Iron and steel 1.20% Machinery-diversified 1.20% Software 1.19% Food service 1.16% Retail 1.13% Healthcare services 1.08% Beverages 0.91% Healthcare products 0.75% Electrical components and equipment 0.64% Engineering and construction 0.50%

Total 91.78%




127

SANTAND ER AM LA TIN AM ERICAN EQU ITY OPPOR TUNITIES SANTANDER AM LATIN A MERI CAN EQUITY OPPO RTUNITIES




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Equities Brazil

USD 327,800 AMBEV SA ADR USD 0 948,166.25 917,840.00 2.06% BRL 465,091 B3 SA - BRASIL BOLSA BALCAO 1,559,402.76 930,182.00 2.09% BRL 622,300 BANCO BRADESCO SA PREFERENCE 2,765,298.61 2,146,208.80 4.82% BRL 260,600 BANCO BTG PACTUAL SA UNIT BRL 1,182,385.95 982,513.46 2.20% BRL 78,800 BANCO DO BRASIL SA 457,602.46 408,147.22 0.92% BRL 30,000 CENTRAIS ELETRICAS BRASILEIRAS SA 248,714.38 179,946.14 0.40% BRL 22,800 CENTRAIS ELETRICAS BRASILEIRAS SA PREFERENCE 187,944.50 135,121.72 0.30% BRL 89,200 COSAN SA 439,506.59 347,351.53 0.78% BRL 42,300 ENERGISA SA UNIT BRL 375,307.63 336,957.09 0.76% BRL 80,735 EQUATORIAL ENERGIA SA 368,844.25 327,723.22 0.74% BRL 104,400 GERDAU SA PREFERENCE 501,741.54 510,941.47 1.15% BRL 152,600 HAPVIDA PARTICIPACOES E INVESTIMENTOS SA 373,085.80 284,378.46 0.64% BRL 415,100 HIDROVIAS DO BRASIL SA 518,928.84 257,108.62 0.58% BRL 220,200 HOSPITAL MATER DEI SA 765,041.18 533,698.38 1.20% USD 225,800 ITAU UNIBANCO HOLDING SA ADR USD 1,116,805.68 846,750.00 1.90% BRL 594,600 ITAU UNIBANCO HOLDING SA PREFERENCE 2,688,320.92 2,236,421.90 5.02% BRL 69,500 JBS SA 342,781.97 473,523.34 1.06% BRL 84,870 LOJAS RENNER SA 680,451.45 372,391.89 0.84% BRL 239,900 MAGAZINE LUIZA SA 898,936.47 310,965.53 0.70% BRL 76,100 NOTRE DAME INTERMEDICA PARTICIPACOES SA 1,140,666.60 824,530.52 1.85% USD 19,800 PETROLEO BRASILEIRO SA ADR 192,170.10 200,178.00 0.45% BRL 679,000 PETROLEO BRASILEIRO SA PREFERENCE 3,555,765.67 3,468,141.83 7.76% BRL 117,800 SUZANO PAPEL E CELULOSE SA 1,226,718.71 1,271,267.15 2.85% BRL 87,200 TOTVS SA 485,592.49 448,367.68 1.01% BRL 225,000 VALE SA 3,330,562.28 3,149,192.10 7.07% USD 84,000 VALE SA ADR 1,545,109.10 1,177,680.00 2.64% BRL 162,600 VIBRA ENERGIA SA 819,400.66 624,710.95 1.40% BRL 148,100 VIVARA PARTICIPACOES SA 784,603.13 676,420.83 1.52% BRL 141,400 WEG SA 1,028,026.60 837,230.16 1.88% USD - XP INC 35.70 - 0.00%

Total Brazil 30,527,918.27 25,215,889.99 56.59% Chile

CLP 10,331 BANCO DE CREDITO E INVERSIONES SA 478,740.04 301,805.86 0.68% CLP 8,369,700 BANCO SANTANDER CHILE 404,917.59 336,458.01 0.76% CLP 383,900 CENCOSUD SA 637,237.24 642,086.27 1.43% CLP 2,359,300 ENEL CHILE SA 93,061.08 82,520.12 0.19% CLP 66,700 SACI FALABELLA 216,421.79 217,557.86 0.49% USD 6,800 SOCIEDAD QUIMICA Y MINERA DE CHILE SA ADR 314,563.68 342,924.00 0.77%

Total Chile 2,144,941.42 1,923,352.12 4.32% Colombia

USD 23,400 BANCOLOMBIA SA ADR 756,050.40 739,206.00 1.66% Total Colombia 756,050.40 739,206.00 1.66% Luxembourg

USD 1,200 GLOBANT SA 377,327.12 376,908.00 0.85% USD 40,100 TENARIS SA ADR 853,000.32 836,486.00 1.87% USD 8,600 TERNIUM SA ADR 332,622.17 374,272.00 0.84%

Total Luxembourg 1,562,949.61 1,587,666.00 3.56%





128


Cost USD

Market Value

USD


Mexico

MXN 999,150 AMERICA MOVIL SAB DE CV 719,034.21 1,058,957.42 2.38% USD 115,200 AMERICA MOVIL SAB DE CV ADR USD 1,680,254.27 2,431,872.00 5.45%

MXN 73,600 ARCA CONTINENTAL SAB DE CV 386,394.39 469,400.05 1.05% MXN 142,400 BOLSA MEXICANA DE VALORES SAB DE CV 318,529.97 270,813.98 0.61% MXN 2,081,500 CEMEX S.A.B. DE C.V. PTG CERT NPV(REP2'A'&1'B' 1,355,489.35 1,422,926.22 3.19% MXN 222,900 CORP INMOBILIARIA VESTA SAB DE CV 385,579.08 449,067.53 1.01% MXN 178,100 FOMENTO ECONOMICO MEXCANO SAB DE CV 1,533,745.87 1,386,508.28 3.11% MXN 451,800 GENTERA SAB DE CV 248,221.98 290,971.12 0.65% MXN 39,750 GRUPO AEROPORTUARIO DEL CENTRO NORTE SAB DE CV 226,075.05 267,091.25 0.60% MXN 137,200 GRUPO FINANCIERO BANORTE SAB DE CV 889,219.00 891,783.24 2.00% MXN 1,216,100 GRUPO HOTELERO SANTA FE SAB DE CV 369,883.27 279,290.01 0.63% MXN 278,500 GRUPO MEXICO SAB DE CV 1,017,990.32 1,215,111.90 2.73% MXN 304,826 GRUPO TRAXION SAB DE CV 352,046.93 533,091.74 1.20% MXN 129,000 REGIONAL SAB DE CV 666,126.83 669,299.78 1.50% MXN 288,600 WAL-MART DE MEXICO SAB DE CV 901,936.01 1,073,030.74 2.41%

Total Mexico 11,050,526.53 12,709,215.26 28.52% Peru

PEN 1 FERREYCORP SAA 0.79 0.51 0.00% Total Peru 0.79 0.51 0.00% United States of America

USD 360 MERCADOLIBRE INC 501,693.27 485,424.00 1.09% Total United States of America 501,693.27 485,424.00 1.09% Total Equities 46,544,080.29 42,660,753.88 95.74% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 46,544,080.29 42,660,753.88 95.74% Total investments 46,544,080.29 42,660,753.88 95.74%



129


Brazil 56.59% Mexico 28.52% Chile 4.32% Luxembourg 3.56% Colombia 1.66% United States of America 1.09% Peru 0.00%

Total 95.74%


% of Net Assets

Banks 19.91% Iron and steel 11.70% Oil and gas 10.39% Telecommunications 7.83% Beverages 6.22% Retail 5.96% Diversified financial services 4.90% Healthcare services 3.69% Building materials 3.19% Forest products and paper 2.85% Mining 2.73% Food 2.49% Electricity 2.39% Machinery-diversified 1.88% Metal Fabricate and Hardware 1.87% Transportation 1.78% Internet 1.09% Real estate 1.01% Software 1.01% Computers 0.85% Chemicals 0.77% Lodging 0.63% Engineering and construction 0.60%

Total 95.74%




130

SANTAND ER AC TIVE POR TFOLIO 1 SANTANDER ACTIVE PORT FOLIO 1




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds France

USD 1,400,000 TOTAL SA CONVERTIBLE BOND FIXED 0.500% 02/12/22 1,385,420.00 1,430,448.33 2.16% Total France 1,385,420.00 1,430,448.33 2.16% Germany

USD 2,000,000 BASF SE CONVERTIBLE BOND FIXED 0.925% 09/03/23 1,979,978.96 2,003,173.40 3.02% Total Germany 1,979,978.96 2,003,173.40 3.02% Spain

USD 1,000,000 BANCO SANTANDER SA NOTES FIXED 3.500% 11/04/22 1,006,324.79 1,007,689.79 1.52% Total Spain 1,006,324.79 1,007,689.79 1.52% The Netherlands

USD 500,000 BRENNTAG FINANCE BV CONVERTIBLE BOND FIXED 1.875% 02/12/22 491,740.57 590,389.86 0.89%

Total The Netherlands 491,740.57 590,389.86 0.89% United States of America

USD 600,000 GLENCORE FUNDING LLC CONVERTIBLE BOND ZERO CPN 0.000% 27/03/25 551,890.01 623,034.54 0.94%

Total United States of America 551,890.01 623,034.54 0.94% Total Bonds 5,415,354.33 5,654,735.92 8.53% Government bonds Canada

USD 1,340,000 CANADA BOND FIXED USD 5000 2.625% 25/01/22 1,341,959.72 1,341,831.82 2.02% Total Canada 1,341,959.72 1,341,831.82 2.02% Portugal

USD 1,800,000 PORTUGUESE REPUBLIC MEDIUM TERM NOTE FIXED 5.125% 15/10/24 1,803,944.75 1,996,676.87 3.01%

Total Portugal 1,803,944.75 1,996,676.87 3.01% United States of America

USD 2,756,800 UNITED STATES OF AMERICA NOTES FIXED 0.509% 15/04/24 2,865,752.15 3,223,373.49 4.86% USD 2,969,400 UNITED STATES OF AMERICA NOTES FIXED 0.689% 15/01/24 3,231,470.28 3,747,503.66 5.65% USD 1,289,200 UNITED STATES OF AMERICA NOTES FIXED 1.500% 15/02/30 1,380,418.73 1,296,149.59 1.95% USD 1,000,000 UNITED STATES OF AMERICA NOTES FIXED 1.500% 31/01/22 1,001,131.45 1,001,102.98 1.51% USD 2,000,000 UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/08/22 1,998,853.05 2,017,171.50 3.04% USD 3,765,000 UNITED STATES OF AMERICA NOTES FIXED 2.125% 30/11/23 3,778,740.13 3,866,478.50 5.83%





131


Cost USD

Market Value

USD


USD 1,595,400 UNITED STATES OF AMERICA NOTES FIXED 2.125% 30/11/24 1,636,912.93 1,648,808.50 2.49% USD 2,325,000 UNITED STATES OF AMERICA NOTES FIXED 2.750% 15/02/28 2,450,873.43 2,513,361.32 3.79% USD 1,857,700 UNITED STATES OF AMERICA NOTES FIXED 2.875% 30/04/25 2,011,983.56 1,968,363.76 2.97%

Total United States of America 20,356,135.71 21,282,313.30 32.09% Total Government bonds 23,502,040.18 24,620,821.99 37.12% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 28,917,394.51 30,275,557.91 45.65% Investment funds Ireland

USD 4,536 ISHARES J.P. MORGAN USD EM BOND UCITS ETF ETP USD 493,752.67 493,380.72 0.74% USD 8,152 LEGG MASON GLOBAL FUNDS PLC - LEGG MASON 1,018,673.92 1,001,799.28 1.51% USD 4,918 LEGG MASON GLOBAL FUNDS PLC-LEGG MASON WESTERN 536,907.48 532,843.86 0.80% USD 5,398 LYXOR NEWCITS IRL PLC - LYXOR/TIEDEMANN ARBITRAGE 542,203.25 546,909.91 0.82% USD 532,225 MAJEDIE ASSET MANAGEMENT INVESTMENT FUND CO - 366,096.00 494,298.97 0.75% USD 232,932 OLD MUTUAL DUBLIN FUNDS PLC - OLD MUTUAL GLOBAL 353,847.55 409,471.80 0.62% USD 6,199 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND 575,445.83 541,000.16 0.82%

Total Ireland 3,886,926.70 4,019,704.70 6.06% Luxembourg

USD 3,600,000 MSIM USD LIQUIDITY FUND 3,600,000.00 3,600,000.00 5.43% Total Luxembourg 3,600,000.00 3,600,000.00 5.43% Luxembourg

USD 23,943 ABERDEEN STANDARD SICAV II-GLOBAL ABSOLUTE RETURN 334,663.03 342,916.18 0.52% USD 562 ALMA PLATINUM IV - SELWOOD MARKET NEUTRAL CREDIT 656,724.90 666,838.40 1.01% USD 4,721 BLACKROCK STRATEGIC FUNDS - AMERICAS DIVERSIFIED 534,113.92 565,484.97 0.85% USD 488 BOUSSARD & GAVAUDAN SICAV - ABSOLUTE RETURN 490,959.28 565,316.72 0.85% USD 343 CANDRIAM ABSOLUTE RETURN EQUITY MARKET NEUTRAL 516,495.36 554,200.65 0.84% USD 45,557 JPMORGAN FUNDS - AGGREGATE BOND FUND OPEN-END FUND 5,377,344.60 6,239,942.29 9.39% USD 200,000 JUPITER JGF - DYNAMIC BOND OPEN-END FUND USD 2,984,000.00 3,082,000.00 4.65% USD 2,309 LUMYNA - PSAM GLOBAL EVENT UCITS FUND OPEN-END 332,044.67 384,768.13 0.58% USD 4,177 MAN AHL TREND ALTERNATIVE OPEN-END FUND USD 658,828.02 658,231.67 0.99% USD 19,160 PICTET - SHORT-TERM MONEY MARKET USD OPEN-END FUND 2,661,264.53 2,803,215.09 4.23% USD 17,466 SCHRODER ISF EMERGING MARKETS DEBT ABSOLUTE RETURN 494,479.93 480,969.98 0.73% USD 6,418 UBAM - DYNAMIC US DOLLAR BOND OPEN-END FUND USD 1,462,217.52 1,519,373.88 2.29%

Total Luxembourg 16,503,135.76 17,863,257.96 26.93% Total Investment funds 23,990,062.46 25,482,962.66 38.42% Total investments 52,907,456.97 55,758,520.57 84.07%



132


United States of America 33.03% Luxembourg 26.93% Ireland 6.06% Luxembourg 5.43% Germany 3.02% Portugal 3.01% France 2.16% Canada 2.02% Spain 1.52% The Netherlands 0.89%

Total 84.07%


% of Net Assets

Investment funds 38.42% Sovereign 37.12% Chemicals 3.91% Oil and gas 2.16% Banks 1.52% Mining 0.94%

Total 84.07%




133

SANTAND ER AC TIVE POR TFOLIO 2 SANTANDER ACTIVE PORT FOLIO 2




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds France

USD 600,000 TOTAL SA CONVERTIBLE BOND FIXED 0.500% 02/12/22 593,860.00 613,049.29 1.89% Total France 593,860.00 613,049.29 1.89% Germany

USD 750,000 BASF SE CONVERTIBLE BOND FIXED 0.925% 09/03/23 741,695.59 751,190.03 2.32% Total Germany 741,695.59 751,190.03 2.32% Spain

USD 400,000 BANCO SANTANDER SA NOTES FIXED 3.500% 11/04/22 402,529.82 403,075.92 1.24% Total Spain 402,529.82 403,075.92 1.24% The Netherlands

USD 250,000 BRENNTAG FINANCE BV CONVERTIBLE BOND FIXED 1.875% 02/12/22 246,969.57 295,194.93 0.91%

Total The Netherlands 246,969.57 295,194.93 0.91% United States of America

USD 200,000 GLENCORE FUNDING LLC CONVERTIBLE BOND ZERO CPN 0.000% 27/03/25 184,125.92 207,678.18 0.64%

Total United States of America 184,125.92 207,678.18 0.64% Total Bonds 2,169,180.90 2,270,188.35 7.00% Government bonds Canada

USD 610,000 CANADA BOND FIXED USD 5000 2.625% 25/01/22 610,892.20 610,833.89 1.88% Total Canada 610,892.20 610,833.89 1.88% Portugal

USD 1,300,000 PORTUGUESE REPUBLIC MEDIUM TERM NOTE FIXED 5.125% 15/10/24 1,304,840.59 1,442,044.41 4.45%

Total Portugal 1,304,840.59 1,442,044.41 4.45% United States of America

USD 1,001,400 UNITED STATES OF AMERICA NOTES FIXED 0.509% 15/04/24 1,041,426.00 1,170,881.53 3.61% USD 1,081,100 UNITED STATES OF AMERICA NOTES FIXED 0.689% 15/01/24 1,177,051.05 1,364,392.20 4.21% USD 445,500 UNITED STATES OF AMERICA NOTES FIXED 1.500% 15/02/30 477,029.51 447,901.52 1.38% USD 426,000 UNITED STATES OF AMERICA NOTES FIXED 1.500% 31/01/22 425,965.21 426,469.87 1.31% USD 991,800 UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/08/22 1,000,835.15 1,000,315.35 3.08% USD 1,899,800 UNITED STATES OF AMERICA NOTES FIXED 2.125% 30/11/23 1,966,923.91 1,951,005.54 6.01%





134


Cost USD

Market Value

USD


USD 785,500 UNITED STATES OF AMERICA NOTES FIXED 2.125% 30/11/24 825,487.34 811,795.84 2.50% USD 900,000 UNITED STATES OF AMERICA NOTES FIXED 2.750% 15/02/28 944,991.33 972,914.06 3.00% USD 927,300 UNITED STATES OF AMERICA NOTES FIXED 2.875% 30/04/25 999,730.00 982,539.55 3.03%


USD 1,530 ISHARES J.P. MORGAN USD EM BOND UCITS ETF ETP USD 166,543.56 166,418.10 0.51% USD 2,151 LEGG MASON GLOBAL FUNDS PLC-LEGG MASON WESTERN 234,682.54 233,022.98 0.72% USD 2,904 LYXOR NEWCITS IRL PLC - LYXOR/TIEDEMANN ARBITRAGE 291,700.00 294,232.14 0.91% USD 232,373 MAJEDIE ASSET MANAGEMENT INVESTMENT FUND CO - 160,952.00 215,814.48 0.67% USD 101,593 OLD MUTUAL DUBLIN FUNDS PLC - OLD MUTUAL GLOBAL 154,330.05 178,590.48 0.55% USD 3,358 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND 312,165.83 293,056.07 0.90%


USD 15,509 ABERDEEN STANDARD SICAV II-GLOBAL ABSOLUTE RETURN 216,778.63 222,124.62 0.68% USD 245 ALMA PLATINUM IV - SELWOOD MARKET NEUTRAL CREDIT 286,591.37 291,004.85 0.90% USD 2,242 BLACKROCK STRATEGIC FUNDS - AMERICAS DIVERSIFIED 255,734.37 268,507.23 0.83% USD 269 BOUSSARD & GAVAUDAN SICAV - ABSOLUTE RETURN 267,874.20 311,823.32 0.96% USD 158 CANDRIAM ABSOLUTE RETURN EQUITY MARKET NEUTRAL 237,227.52 254,546.72 0.78% USD 16,227 JPMORGAN FUNDS - AGGREGATE BOND FUND OPEN-END FUND 1,885,577.40 2,222,612.19 6.86% USD 76,000 JUPITER JGF - DYNAMIC BOND OPEN-END FUND USD 1,133,920.00 1,171,160.00 3.61% USD 1,008 LUMYNA - PSAM GLOBAL EVENT UCITS FUND OPEN-END 144,378.25 167,980.87 0.52% USD 1,980 MAN AHL TREND ALTERNATIVE OPEN-END FUND USD 311,901.09 312,086.87 0.96% USD 8,920 PICTET - SHORT-TERM MONEY MARKET USD OPEN-END FUND 1,267,139.74 1,304,957.01 4.02% USD 6,000 SCHRODER ISF EMERGING MARKETS DEBT ABSOLUTE RETURN 169,866.00 165,225.00 0.51% USD 7,451 UBAM - DYNAMIC US DOLLAR BOND OPEN-END FUND USD 1,693,910.77 1,763,932.46 5.44%

Total Luxembourg 7,870,899.34 8,455,961.14 26.07% Luxembourg

USD 1,600,000 MSIM USD LIQUIDITY FUND 1,600,000.00 1,600,000.00 4.93% Total Luxembourg 1,600,000.00 1,600,000.00 4.93% Total Investment funds 10,791,273.32 11,437,095.39 35.26% Total investments 23,735,626.51 24,888,377.50 76.72%



135


United States of America 28.77% Luxembourg 26.07% Luxembourg 4.93% Portugal 4.45% Ireland 4.26% Germany 2.32% France 1.89% Canada 1.88% Spain 1.24% The Netherlands 0.91%

Total 76.72%


% of Net Assets

Investment funds 35.26% Sovereign 34.46% Chemicals 3.23% Oil and gas 1.89% Banks 1.24% Mining 0.64%

Total 76.72%




136

SANTAND ER COR PORA TE C OUPON SANTANDER CO RPO RATE COUPON




Cost USD

Market Value

USD



USD 500,000 BHP BILLITON FINANCE USA LTD NOTES FIXED 2.875% 24/02/22 500,121.69 501,443.75 0.65% Total Australia 500,121.69 501,443.75 0.65% Canada

USD 300,000 ROYAL BANK OF CANADA CALLABLE MEDIUM TERM NOTE 1.200% 27/04/26 299,474.87 294,948.10 0.38%

USD 500,000 TORONTO-DOMINION BANK/THE CALLABLE MEDIUM TERM 0.550% 04/03/24 499,678.84 494,805.89 0.65%

USD 300,000 TORONTO-DOMINION BANK/THE MEDIUM TERM NOTE 0.399% 10/09/2024 300,000.00 300,364.68 0.39%

Total Canada 1,099,153.71 1,090,118.67 1.42% Colombia

USD 200,000 ECOPETROL SA CALLABLE BOND FIXED 5.875% 18/09/23 214,090.02 212,255.00 0.28% Total Colombia 214,090.02 212,255.00 0.28% France

USD 300,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MEDIUM TERM 0.459% 04/02/2025 300,000.00 298,924.53 0.39%

USD 800,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MEDIUM TERM 0.650% 27/02/24 799,257.10 790,482.14 1.03%

USD 400,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE 2.219% 09/06/26 400,000.00 404,048.42 0.53%

USD 200,000 BNP PARIBAS SA CALLABLE NOTES VARIABLE 6.750% 31/12/64 208,834.40 202,062.00 0.26% USD 500,000 BNP PARIBAS SA MEDIUM TERM NOTE FIXED 2.950% 23/05/22 500,047.57 504,890.42 0.66% USD 300,000 BPCE SA CALLABLE MEDIUM TERM NOTE VARIABLE 1.652%

06/10/26 300,000.00 296,139.55 0.39% USD 250,000 CREDIT AGRICOLE SA/LONDON CALLABLE MEDIUM TERM

1.907% 16/06/26 250,000.00 250,686.53 0.33% USD 250,000 CREDIT AGRICOLE SA/LONDON MEDIUM TERM NOTE FIXED

3.250% 04/10/24 249,640.77 261,671.02 0.34% USD 500,000 CREDIT AGRICOLE SA CALLABLE MEDIUM TERM NOTE

VARIABLE 26/01/27 500,000.00 486,774.66 0.63% USD 200,000 ELECTRICITE DE FRANCE SA CALLABLE BOND VARIABLE PERP 209,713.82 207,712.00 0.27% USD 200,000 ESSILORLUXOTTICA SA CALLABLE MEDIUM TERM NOTE 2.500%

30/06/22 200,342.43 202,021.95 0.26% USD 400,000 SOCIETE GENERALE SA MEDIUM TERM NOTE FIXED 2.625%

2.625% 16/10/24 399,422.75 411,156.59 0.54% USD 300,000 SOCIETE GENERALE SA MEDIUM TERM NOTE FIXED 4.250%

14/09/23 299,895.54 315,689.35 0.41% USD 250,000 TOTAL CAPITAL CANADA LTD CALLABLE NOTES FIXED 2.750%

15/07/23 247,578.00 256,957.76 0.34% USD 400,000 TOTAL CAPITAL INTERNATIONAL SA NOTES FIXED 2.875%


USD 250,000 BMW US CAPITAL LLC CALLABLE NOTES FIXED 0.750% 12/08/2024 249,980.36 247,368.42 0.32% USD 400,000 BMW US CAPITAL LLC CALLABLE NOTES FIXED 3.800% 06/04/23 400,920.00 414,876.47 0.54% USD 200,000 BMW US CAPITAL LLC CALLABLE NOTES FIXED 3.900% 09/04/2025 217,950.93 215,227.47 0.28%





137


Cost USD

Market Value

USD


USD 300,000 DEUTSCHE BANK AG/NEW YORK NY NOTES FIXED 0.898%

28/05/24 300,000.00 297,517.57 0.39% USD 300,000 DEUTSCHE BANK AG/NEW YORK NY NOTES FIXED 0.962%

08/11/2023 300,000.00 299,589.18 0.39% USD 400,000 DEUTSCHE PFANDBRIEFBANK AG MEDIUM TERM NOTE FIXED

0.875% 11/10/2024 399,826.62 395,126.95 0.52% USD 500,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV CALLABLE 0.400%

11/03/23 499,841.59 498,534.66 0.65% USD 400,000 VOLKSWAGEN GROUP OF AMERICA FINANCE LLC CALLABLE

0.875% 22/11/23 399,623.95 397,502.90 0.52% USD 400,000 VOLKSWAGEN GROUP OF AMERICA FINANCE LLC CALLABLE

1.250% 24/11/25 399,457.19 391,588.96 0.51% USD 300,000 VOLKSWAGEN GROUP OF AMERICA FINANCE LLC CALLABLE

2.900% 13/05/22 299,970.72 302,475.68 0.39% Total Germany 3,467,571.36 3,459,808.26 4.51% Ireland

USD 400,000 SMURFIT KAPPA TREASURY FUNDING DAC NOTES FIXED 7.500% 20/11/25 484,655.11 493,028.00 0.64%

Total Ireland 484,655.11 493,028.00 0.64% Italy

USD 1,100,000 ENEL FINANCE INTERNATIONAL NV CALLABLE NOTES FIXED 1.375% 12/07/2026 1,091,165.50 1,072,314.39 1.40%

USD 700,000 ENI SPA CALLABLE NOTES FIXED 4.000% 12/09/23 709,845.19 733,329.91 0.96% USD 200,000 MEDIOBANCA INTERNATIONAL LUXEMBOURG SA MEDIUM

TERM 3.500% 29/03/24 210,992.49 208,946.15 0.27% USD 400,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

03/06/27 400,000.00 389,409.42 0.51% USD 400,000 UNICREDIT SPA CALLABLE NOTES VARIABLE 2.569% 22/09/26 400,000.00 400,567.54 0.52% USD 350,000 UNICREDIT SPA MEDIUM TERM NOTE FIXED 6.572% 14/01/22 350,000.00 350,564.99 0.46%

Total Italy 3,162,003.18 3,155,132.40 4.12% Japan

USD 400,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES FIXED 3.748% 19/07/23 400,000.00 416,861.80 0.54%

Total Japan 400,000.00 416,861.80 0.54% Norway

USD 800,000 EQUINOR ASA CALLABLE BOND FIXED 2.875% 06/04/25 839,765.49 835,492.63 1.09% Total Norway 839,765.49 835,492.63 1.09% Spain

USD 400,000 BANCO BILBAO VIZCAYA ARGENTARIA SA NOTES FIXED 0.875% 18/09/23 399,753.13 398,549.48 0.52%

USD 400,000 BANCO SANTANDER SA CALLABLE NOTES VARIABLE 1.722% 14/09/2027 400,000.00 392,947.36 0.51%

USD 200,000 BANCO SANTANDER SA NOTES FIXED 2.746% 28/05/25 200,000.00 206,884.08 0.27% Total Spain 999,753.13 998,380.92 1.30%





138


Cost USD

Market Value

USD


Sweden

USD 500,000 NORDEA BANK ABP CALLABLE MEDIUM TERM NOTE VARIABLE PERP 549,484.09 538,472.50 0.70%

USD 400,000 SWEDBANK AB MEDIUM TERM NOTE FIXED 0.850% 18/03/24 399,826.85 397,430.26 0.52% Total Sweden 949,310.94 935,902.76 1.22% Switzerland

USD 400,000 CREDIT SUISSE AG/NEW YORK NY MEDIUM TERM NOTE 0.520% 09/08/2023 400,000.00 397,299.33 0.52%

USD 400,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE 2.193% 05/06/26 400,000.00 402,576.23 0.52%

USD 250,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE 2.593% 11/09/25 248,671.23 255,458.40 0.33%

USD 300,000 NESTLE HOLDINGS INC CALLABLE NOTES FIXED 0.606% 14/09/2024 300,000.00 295,879.33 0.39%

USD 300,000 NESTLE HOLDINGS INC CALLABLE NOTES FIXED 3.350% 24/09/23 299,982.00 312,420.62 0.41% USD 200,000 SWISS RE FINANCE LUXEMBOURG SA CALLABLE BOND 4.250%

31/12/64 200,000.00 206,875.00 0.27% USD 400,000 UBS AG/LONDON NOTES FIXED 0.700% 09/08/2024 399,858.50 395,568.42 0.52% USD 200,000 UBS GROUP AG CALLABLE NOTES FIXED 3.491% 23/05/23 202,152.21 202,043.46 0.26%


USD 400,000 CNH INDUSTRIAL NV CALLABLE NOTES FIXED 4.500% 15/08/23 424,767.82 420,351.18 0.55% USD 500,000 COOPERATIEVE RABOBANK UA CALLABLE MEDIUM TERM NOTE

1.339% 24/06/26 500,000.00 493,215.10 0.64% USD 400,000 COOPERATIEVE RABOBANK UA CALLABLE MEDIUM TERM NOTE

VARIABLE 24/02/27 400,000.00 388,273.98 0.51% USD 550,000 COOPERATIEVE RABOBANK UA MEDIUM TERM NOTE FIXED

2.625% 22/07/24 563,252.26 568,160.29 0.74% USD 1,000,000 EDP FINANCE BV CALLABLE NOTES FIXED 3.625% 15/07/24 1,030,852.14 1,050,102.60 1.37% USD 400,000 ING GROEP NV CALLABLE NOTES VARIABLE 0.000% 01/07/26 399,799.27 396,095.68 0.52% USD 500,000 STELLANTIS FINANCE US INC CALLABLE NOTES FIXED 1.711%

29/01/2027 500,000.00 491,745.22 0.64% Total The Netherlands 3,818,671.49 3,807,944.05 4.97% United Kingdom

USD 300,000 ASTRAZENECA PLC CALLABLE NOTES FIXED 3.125% 12/06/2027 320,291.61 321,763.74 0.42% USD 600,000 BARCLAYS PLC CALLABLE NOTES VARIABLE 1.007% 10/12/24 600,000.00 595,890.50 0.76% USD 200,000 BP CAPITAL MARKETS PLC CALLABLE NOTES VARIABLE PERP 212,920.36 209,500.00 0.27% USD 250,000 BP CAPITAL MARKETS PLC MEDIUM TERM NOTE FIXED 3.643%

14/05/23 250,087.15 258,881.43 0.34% USD 500,000 COCA-COLA EUROPACIFIC PARTNERS PLC CALLABLE NOTES

0.800% 03/05/24 499,842.19 491,993.40 0.64% USD 400,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 0.732%

17/08/2024 400,000.00 396,576.41 0.52% USD 200,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 1.589%


18/05/24 400,000.00 414,954.56 0.54% USD 400,000 IMPERIAL BRANDS FINANCE PLC CALLABLE NOTES FIXED 3.125%

26/07/24 398,983.35 413,563.84 0.54% USD 200,000 IMPERIAL BRANDS FINANCE PLC CALLABLE NOTES FIXED 4.250%

21/07/25 217,412.23 214,903.56 0.28% USD 400,000 LLOYDS BANKING GROUP PLC CALLABLE NOTES VARIABLE

2.438% 05/02/26 400,000.00 408,080.50 0.53% USD 400,000 LLOYDS BANKING GROUP PLC CALLABLE NOTES VARIABLE

3.870% 09/07/25 400,000.00 422,790.46 0.55%





139


Cost USD

Market Value

USD


USD 500,000 NATWEST MARKETS PLC NOTES FIXED 0.800% 12/08/24 499,257.48 492,020.37 0.64% USD 500,000 SANTANDER UK GROUP HOLDINGS PLC CALLABLE NOTES

VARIABLE 15/03/25 500,000.00 495,624.16 0.65% USD 400,000 SHELL INTERNATIONAL FINANCE BV CALLABLE NOTES 0.375%

15/09/23 399,447.85 397,483.06 0.52% USD 400,000 STANDARD CHARTERED PLC CALLABLE NOTES VARIABLE


14/01/27 400,000.00 387,739.15 0.51% USD 200,000 VODAFONE GROUP PLC CALLABLE BOND VARIABLE 03/10/78 222,034.85 214,653.00 0.28% USD 200,000 VODAFONE GROUP PLC CALLABLE NOTES VARIABLE 04/06/81 200,000.00 196,408.00 0.26%


USD 400,000 ABBOTT LABORATORIES CALLABLE NOTES FIXED 3.875% 15/09/25 428,740.09 434,738.32 0.57% USD 300,000 ABBVIE INC CALLABLE NOTES FIXED 2.600% 21/11/24 300,789.43 311,472.36 0.41% USD 400,000 ABBVIE INC CALLABLE NOTES FIXED 3.200% 06/11/22 400,714.32 406,823.93 0.53% USD 500,000 AIG GLOBAL FUNDING MEDIUM TERM NOTE FIXED 0.450%

08/12/23 499,646.50 495,361.45 0.65% USD 300,000 ALTRIA GROUP INC NOTES FIXED 4.000% 31/01/24 319,519.88 316,931.39 0.41% USD 600,000 AMAZON.COM INC CALLABLE NOTES FIXED 0.450% 12/05/24 599,311.20 594,373.60 0.78% USD 480,000 AMERICAN HONDA FINANCE CORP CALLABLE MEDIUM TERM



2.050% 10/01/23 199,976.93 202,999.80 0.26% USD 400,000 AMERICAN TOWER CORP CALLABLE NOTES FIXED 0.600%

15/01/24 399,548.28 395,924.10 0.52% USD 200,000 AMERICAN TOWER CORP CALLABLE NOTES FIXED 1.300%



15/03/25 399,764.46 411,035.63 0.54% USD 200,000 AMGEN INC CALLABLE NOTES FIXED 1.900% 21/02/25 199,743.10 203,893.61 0.27% USD 500,000 APPLE INC CALLABLE NOTES FIXED 2.300% 11/05/22 499,657.33 502,583.97 0.66% USD 300,000 AT&T INC CALLABLE NOTES FIXED 0.900% 25/03/2024 300,528.15 298,793.64 0.39% USD 400,000 AT&T INC CALLABLE NOTES FIXED 3.600% 15/07/25 435,293.35 427,379.02 0.56% USD 316,000 AXA EQUITABLE HOLDINGS INC CALLABLE NOTES FIXED 3.900%

20/04/23 315,879.13 327,127.99 0.43% USD 400,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE

1.319% 19/06/26 400,000.00 396,065.09 0.52% USD 700,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE



VARIABLE 28/05/24 400,000.00 400,202.00 0.52% USD 300,000 BANK OF AMERICA CORP CALLABLE NOTES VARIABLE 1.651%

11/03/2027 297,740.61 297,994.73 0.39% USD 200,000 BANK OF AMERICA CORP MEDIUM TERM NOTE FIXED 4.200%

26/08/24 207,717.80 214,508.56 0.28% USD 300,000 BAXALTA INC CALLABLE NOTES FIXED 4.000% 23/06/2025 323,638.68 323,782.19 0.42% USD 300,000 BECTON DICKINSON AND CO CALLABLE NOTES FIXED 3.700%

06/06/2027 325,221.22 327,179.47 0.43% USD 600,000 CATERPILLAR FINANCIAL SERVICES CORP CALLABLE 0.450%


13/09/2024 300,000.00 300,773.38 0.39% USD 300,000 CELANESE US HOLDINGS LLC CALLABLE NOTES FIXED 3.500%

08/05/24 299,852.48 313,511.72 0.41% USD 500,000 CITIGROUP INC CALLABLE NOTES VARIABLE 01/05/25 500,000.00 496,313.55 0.65%





140


Cost USD

Market Value

USD


USD 400,000 CITIGROUP INC CALLABLE NOTES VARIABLE 1.678% 15/05/24 400,000.00 404,564.28 0.53% USD 500,000 CITIGROUP INC CALLABLE NOTES VARIABLE 28/01/27 500,000.00 487,238.43 0.64% USD 500,000 COMCAST CORP CALLABLE NOTES FIXED 3.700% 15/04/24 499,987.47 531,473.87 0.69% USD 300,000 CROWN CASTLE INTERNATIONAL CORP CALLABLE NOTES

1.350% 15/07/25 302,041.77 296,202.65 0.39% USD 400,000 DH EUROPE FINANCE II SARL CALLABLE NOTES FIXED 2.050%

15/11/22 400,319.59 405,213.69 0.53% USD 300,000 DIGITAL REALTY TRUST LP CALLABLE NOTES FIXED 4.750%

01/10/2025 336,331.94 332,396.60 0.43% USD 500,000 EBAY INC CALLABLE NOTES FIXED 2.750% 30/01/23 499,957.60 511,173.95 0.67% USD 300,000 EQUINIX INC CALLABLE NOTES FIXED 2.625% 18/11/24 313,508.40 309,315.69 0.40% USD 400,000 EXXON MOBIL CORP CALLABLE NOTES FIXED 2.992% 19/03/25 426,554.71 420,664.42 0.55% USD 200,000 FEDEX CORP CALLABLE NOTES FIXED 3.250% 01/04/2026 217,239.96 213,527.26 0.28% USD 300,000 FIDELITY NATIONAL INFORMATION SERVICES INC 0.375%

01/03/23 299,862.20 298,595.81 0.39% USD 400,000 FISERV INC CALLABLE NOTES FIXED 2.750% 01/07/24 420,613.04 413,966.79 0.54% USD 200,000 FORD MOTOR CREDIT CO LLC NOTES FIXED 3.096% 04/05/23 203,316.77 204,013.00 0.27% USD 400,000 FRESENIUS MEDICAL CARE US FINANCE III INC CALLABLE

1.875% 01/12/26 398,372.59 395,938.84 0.52% USD 200,000 GENERAL MOTORS CO CALLABLE NOTES FIXED 4.000% 01/04/25 216,464.46 214,136.66 0.28% USD 200,000 GENERAL MOTORS CO CALLABLE NOTES FIXED 5.400% 02/10/23 199,892.98 214,160.95 0.28% USD 300,000 GENERAL MOTORS FINANCIAL CO INC CALLABLE NOTES 1.250%

08/01/26 299,535.66 293,826.11 0.38% USD 400,000 GLENCORE FUNDING LLC CALLABLE NOTES FIXED 1.625%

01/09/25 398,535.22 396,256.12 0.52% USD 200,000 GLENCORE FUNDING LLC CALLABLE NOTES FIXED 1.625%

27/04/26 199,818.64 196,415.84 0.26% USD 200,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES 3.272%

29/09/25 204,326.55 209,978.71 0.27% USD 500,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES FIXED

0.523% 08/03/23 500,000.00 498,523.04 0.65% USD 250,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES FIXED

3.500% 01/04/25 249,942.23 264,545.20 0.35% USD 400,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES VARIABLE

12/02/26 400,000.00 392,434.79 0.51% USD 200,000 HEWLETT PACKARD ENTERPRISE CO CALLABLE NOTES FIXED

2.250% 01/04/23 199,984.53 203,095.54 0.26% USD 300,000 HP INC CALLABLE NOTES FIXED 1.450% 17/06/26 299,487.18 294,364.88 0.38% USD 500,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE FIXED 0.450%

17/01/24 499,748.27 495,352.53 0.65% USD 100,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE FIXED 0.625%

10/09/2024 99,941.90 98,935.96 0.13% USD 500,000 JOHN DEERE CAPITAL CORP MEDIUM TERM NOTE FIXED 0.700%

15/01/26 499,642.39 485,256.01 0.63% USD 400,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 01/06/25 400,000.00 400,720.94 0.52% USD 400,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 1.045%

19/11/26 400,000.00 389,886.83 0.51% USD 400,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 16/02/25 400,000.00 394,394.00 0.51% USD 400,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 2.301%

15/10/25 400,000.00 409,343.38 0.53% USD 300,000 JPMORGAN CHASE & CO NOTES 2.083% 22/04/26 300,000.00 304,718.88 0.40% USD 300,000 JPMORGAN CHASE & CO NOTES FIXED 3.375% 01/05/23 304,626.02 309,386.35 0.40% USD 600,000 KINDER MORGAN ENERGY PARTNERS LP CALLABLE NOTES

4.250% 01/09/24 648,850.97 640,062.28 0.83% USD 400,000 KINDER MORGAN INC CALLABLE NOTES FIXED 1.750% 15/11/2026 399,336.51 398,694.84 0.52% USD 500,000 MERCK & CO INC CALLABLE NOTES FIXED 0.750% 24/02/26 498,166.23 490,613.46 0.64% USD 200,000 METROPOLITAN LIFE GLOBAL FUNDING I NOTES FIXED 2.650%

08/04/22 200,361.47 201,272.29 0.26% USD 300,000 MICROSOFT CORP CALLABLE NOTES FIXED 2.375% 01/05/23 302,081.55 306,422.61 0.40% USD 250,000 MOLSON COORS BEVERAGE CO CALLABLE NOTES FIXED 3.000%

15/07/26 270,501.28 261,963.80 0.34% USD 400,000 MORGAN STANLEY CALLABLE MEDIUM TERM NOTE VARIABLE

1.164% 21/10/2025 400,000.00 397,086.12 0.52% USD 600,000 MORGAN STANLEY CALLABLE NOTES VARIABLE 05/04/24 600,000.00 598,299.50 0.78% USD 400,000 MORGAN STANLEY MEDIUM TERM NOTE FIXED 4.100% 22/05/23 409,071.15 416,760.26 0.54% USD 200,000 MYLAN INC CALLABLE NOTES FIXED 4.200% 29/11/23 212,600.16 209,696.93 0.27%





141


Cost USD

Market Value

USD


USD 550,000 NVIDIA CORP CALLABLE NOTES FIXED 0.584% 14/06/24 552,076.72 545,160.31 0.71% USD 300,000 OMNICOM GROUP INC / OMNICOM CAPITAL INC CALLABLE

3.650% 01/11/24 306,974.08 318,183.36 0.41% USD 250,000 PEPSICO INC CALLABLE NOTES FIXED 0.750% 01/05/23 249,780.80 250,397.28 0.33% USD 700,000 SCHLUMBERGER HOLDINGS CORP CALLABLE NOTES FIXED

3.750% 01/05/24 741,351.69 734,763.16 0.93% USD 200,000 SIMON PROPERTY GROUP LP CALLABLE NOTES FIXED 2.000%

13/09/24 199,894.17 203,671.69 0.27% USD 400,000 SIMON PROPERTY GROUP LP CALLABLE NOTES FIXED 3.300%

15/01/26 430,756.82 423,650.19 0.55% USD 250,000 THERMO FISHER SCIENTIFIC INC CALLABLE NOTES 0.579%

18/10/2024 250,000.00 250,378.78 0.33% USD 400,000 T-MOBILE USA INC CALLABLE NOTES FIXED 1.500% 15/02/26 399,510.55 395,497.34 0.52% USD 250,000 T-MOBILE USA INC CALLABLE NOTES FIXED 2.250% 15/02/26 250,000.00 251,006.25 0.33% USD 400,000 TOYOTA MOTOR CREDIT CORP CALLABLE MEDIUM TERM NOTE

1.800% 13/02/25 399,834.26 406,275.77 0.53% USD 600,000 TOYOTA MOTOR CREDIT CORP MEDIUM TERM NOTE VARIABLE

0.340% 13/09/2024 600,000.00 598,454.57 0.78% USD 500,000 VERIZON COMMUNICATIONS INC CALLABLE NOTES FIXED


0.850% 20/11/25 499,961.87 488,197.74 0.64% USD 200,000 VIATRIS INC CALLABLE NOTES FIXED 1.125% 22/06/2022 199,980.22 200,472.13 0.26% USD 600,000 VIATRIS INC CALLABLE NOTES FIXED 1.650% 22/06/2025 606,309.46 598,206.41 0.78% USD 600,000 WALMART INC CALLABLE NOTES FIXED 1.050% 17/09/2026 598,932.34 593,874.50 0.77% USD 400,000 WALT DISNEY CO/THE CALLABLE NOTES FIXED 1.750% 30/08/24 399,130.06 406,568.32 0.53% USD 500,000 WELLS FARGO & CO CALLABLE MEDIUM TERM NOTE VARIABLE

19/05/25 497,896.58 494,573.06 0.65% USD 200,000 WELLS FARGO & CO MEDIUM TERM NOTE FIXED 3.300% 09/09/24 204,846.17 210,474.19 0.27%

Total United States of America 34,757,539.51 34,747,497.56 45.33% Total Bonds 65,328,405.14 65,336,904.21 85.22% Government bonds Italy

USD 1,200,000 REPUBLIC OF ITALY BOND FIXED 0.875% 06/05/24 1,196,956.92 1,187,517.59 1.55% Total Italy 1,196,956.92 1,187,517.59 1.55% Total Government bonds 1,196,956.92 1,187,517.59 1.55% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 66,525,362.06 66,524,421.80 86.77% Other transferable securities Bonds France

USD 300,000 BPCE SA MEDIUM TERM NOTE FIXED 4.875% 01/04/26 298,720.43 331,251.02 0.43% Total France 298,720.43 331,251.02 0.43%





142


Cost USD

Market Value

USD


Total Bonds 298,720.43 331,251.02 0.43% Total Other transferable securities 298,720.43 331,251.02 0.43% Investment funds Ireland

USD 274,909 ISHARES USD SHORT DURATION CORP BOND UCITS ETF ETP 1,540,700.00 1,544,301.31 2.01% USD 41,000 ISHARES USD SHORT DURATION HIGH YIELD CORP BOND 3,771,746.30 3,715,420.00 4.85%

Total Ireland 5,312,446.30 5,259,721.31 6.86% Total Investment funds 5,312,446.30 5,259,721.31 6.86% Total investments 72,136,528.79 72,115,394.13 94.06%



143


United States of America 45.33% United Kingdom 9.03% Ireland 7.50% France 7.33% Italy 5.67% The Netherlands 4.97% Germany 4.51% Switzerland 3.22% Canada 1.42% Spain 1.30% Sweden 1.22% Norway 1.09% Australia 0.65% Japan 0.54% Colombia 0.28%

Total 94.06%


% of Net Assets

Banks 36.04% Auto manufacturers 6.99% Investment funds 6.86% Oil and gas 4.87% Pharmaceuticals 3.74% Telecommunications 3.63% REITs 3.49% Electricity 3.04% Machinery-diversified 1.96% Healthcare products 1.69% Sovereign 1.55% Internet 1.45% Mining 1.43% Pipelines 1.35% Software 1.33% Beverages 1.31% Computers 1.30% Agriculture 1.23% Media 1.22% Machinery-construction and mining 1.16% Insurance 0.96% Oil and gas services 0.93% Food 0.80% Retail 0.77% Semiconductors 0.71% Biotechnology 0.69% Diversified financial services 0.65% Miscellaneous manufacture 0.65% Forest products and paper 0.64% Healthcare services 0.52% Advertising 0.41% Chemicals 0.41% Transportation 0.28%

Total 94.06%




144

SANTAND ER SELEC T DEFEN SIV E SANTANDER SELE CT DE FEN SIVE




Cost EUR

Market Value EUR


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Government bonds Germany

EUR 1,534,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 10/10/2025 1,575,862.78 1,566,272.29 0.50% EUR 1,570,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 15/08/2030 1,627,665.86 1,606,574.09 0.51% EUR 616,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 2.500% 15/08/2046 985,862.45 985,463.74 0.31%

Total Germany 4,189,391.09 4,158,310.12 1.32% Italy

EUR 2,458,000 REPUBLIC OF ITALY BOND FIXED 1.450% 15/05/2025 2,595,265.48 2,565,102.19 0.81% EUR 2,768,000 REPUBLIC OF ITALY BOND FIXED 3.000% 01/08/2029 3,302,679.03 3,214,172.54 1.02% EUR 970,000 REPUBLIC OF ITALY BOND FIXED 4.750% 01/09/2044 1,579,810.28 1,503,842.60 0.48%

Total Italy 7,477,754.79 7,283,117.33 2.31% United States of America

USD 3,721,000 UNITED STATES OF AMERICA BOND FIXED 3.000% 15/11/2045 3,896,886.69 3,932,110.00 1.25% USD 8,809,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/04/25 7,464,612.19 7,575,559.93 2.40% USD 4,383,000 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/05/2030 3,557,275.24 3,604,583.46 1.14%

Total United States of America 14,918,774.12 15,112,253.39 4.79% Total Government bonds 26,585,920.00 26,553,680.84 8.42% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 26,585,920.00 26,553,680.84 8.42% Investment funds France

EUR 6,715 SOCIETE GENERALE GESTION - SG OBLIG CORPORATE 1-3 680,861.88 679,317.52 0.22% Total France 680,861.88 679,317.52 0.22% Ireland

EUR 3,193 ALGEBRIS UCITS FUNDS PLC - ALGEBRIS FINANCIAL 619,546.92 614,884.83 0.20% EUR 59,314 BAILLIE GIFFORD WORLDWIDE JAPANESE FUND OPEN-END 1,027,937.10 984,246.33 0.31% EUR 11,326 BARINGS EMERGING MARKETS LOCAL DEBT FUND OPEN-END 1,128,200.73 1,062,622.11 0.34% EUR 19,128 INVESCO S&P 500 UCITS ETF ETP USD 13,450,625.97 15,323,440.80 4.86% USD 170,527 ISHARES CHINA CNY BOND UCITS ETF ETP USD 818,038.38 871,289.21 0.28% EUR 171,105 ISHARES CORE EUR CORP BOND UCITS ETF ETP EUR 23,019,765.14 22,926,358.95 7.27% EUR 63,696 ISHARES CORE MSCI EM IMI UCITS ETF USD ACC ETP 1,941,485.93 2,006,360.30 0.64% EUR 21,905 ISHARES CORE MSCI EUROPE UCITS ETF ETP GBP 619,699.02 658,135.73 0.21% EUR 38,748 ISHARES EUR CORP BOND LARGE CAP UCITS ETF ETP EUR 5,384,976.18 5,382,484.68 1.71% EUR 1,764,937 ISHARES EUR CORP BOND SRI 0-3YR UCITS ETF EUR DIST 8,843,478.80 8,829,979.81 2.80% EUR 12,843 ISHARES EUR HIGH YIELD CORP BOND UCITS ETF ETP EUR 1,319,303.60 1,317,948.66 0.42% EUR 10,247 ISHARES GLOBAL CORP BOND EUR HEDGED UCITS ETF DIST 1,067,533.88 1,067,378.76 0.34% EUR 383,724 ISHARES GLOBAL CORP BOND UCITS ETF ETP EUR 1,985,887.41 1,987,153.11 0.63% EUR 165,882 ISHARES GLOBAL HIGH YIELD CORP BOND UCITS ETF ETP 820,568.49 817,715.32 0.26% USD 459,690 ISHARES JP MORGAN EM LOCAL GOVERNMENT BOND UCITS 2,028,046.89 1,990,224.88 0.63% EUR 15,030 ISHARES MSCI ACWI UCITS ETF ETP USD 945,771.13 1,005,957.90 0.32% EUR 16,735 ISHARES MSCI EUROPE SRI UCITS ETF ETP EUR 1,030,241.74 1,085,934.15 0.34% EUR 241,350 ISHARES MSCI USA ESG SCREENED UCITS ETF ETP USD 1,761,106.82 1,997,412.60 0.63% USD 4,695 ISHARES USD CORP BOND UCITS ETF ETP USD 520,817.66 522,201.09 0.17%





145


Cost EUR

Market Value EUR


EUR 644,435 ISHARES USD HIGH YIELD CORP BOND UCITS ETF ETP EUR 3,083,105.93 3,010,800.32 0.95% EUR 12,269 LYXOR NEWCITS IRL PLC - LYXOR/TIEDEMANN ARBITRAGE 1,249,374.24 1,255,019.09 0.40% EUR 4,910 MONTLAKE UCITS PLATFORM ICAV - CRABEL GEMINI UCITS 488,141.64 506,957.64 0.16% EUR 22,898 MUZINICH FUNDS - ENHANCEDYIELD SHORT-TERM FUND 3,945,392.30 3,927,760.49 1.25% EUR 134,498 NEUBERGER BERMAN SHORT DURATION EMERGING MARKET 1,502,347.67 1,475,447.99 0.47% EUR 13,908 NOMURA FUNDS IRELAND - NOMURA US HIGH YIELD BOND 2,164,111.19 2,168,645.11 0.69% EUR 0.00010 NOMURA FUNDS IRELAND PUBLIC LIMITED COMPANY - 0.02 0.02 0.00% EUR 102,191 PIMCO GIS EURO CREDIT FUND OPEN-END FUND EUR 1,746,441.31 1,745,419.41 0.55% EUR 75,538 PIMCO GLOBAL HIGH YIELD BOND FUND OPEN-END FUND 1,918,665.52 1,913,377.84 0.61% EUR 16,043 PRINCIPAL GLOBAL INVESTORS FUNDS - PREFERRED 205,356.53 202,789.57 0.06% EUR 381,033 SPDR BLOOMBERG BARCLAYS 0-3 YEAR EURO CORPORATE 11,511,997.62 11,485,858.75 3.64% EUR 46,393 SPDR BLOOMBERG BARCLAYS EMERGING MARKETS LOCAL 1,361,885.07 1,308,839.32 0.42% EUR 37,877 SPDR BLOOMBERG BARCLAYS EURO CORPORATE BOND UCITS 2,243,060.79 2,246,484.87 0.71% EUR 5,680 SPDR BLOOMBERG BARCLAYS EURO HIGH YIELD BOND UCITS 324,072.19 326,713.60 0.10% EUR 11,337 SPDR MSCI ACWI UCITS ETF ETP USD 1,896,153.10 2,018,892.96 0.64% EUR 13,986 UBS ETF MSCI ACWI SF UCITS ETF ETP USD 1,895,002.02 2,016,641.34 0.64% EUR 3,854 VANGUARD INVESTMENT SERIES PLC - PACIFIC EX-JAPAN 998,517.36 1,019,402.10 0.32% EUR 64,936 VANGUARD S&P 500 UCITS ETF ETP GBP 4,603,111.74 5,212,672.46 1.65% EUR 52,522 XTRACKERS MSCI EMERGING MARKETS UCITS ETF ETP EUR 2,832,184.92 2,769,905.24 0.88% EUR 26,927 XTRACKERS USD CORPORATE BOND UCITS ETF ETP EUR 396,790.89 391,357.02 0.12%


EUR 36,644 ABERDEEN STANDARD SICAV I - EMERGING MARKETS 567,183.25 557,406.63 0.18% EUR 130,135 ABERDEEN STANDARD SICAV II-EURO CORP BOND 1,681,930.75 1,678,158.18 0.53% EUR 4,021 ALLIANZ GLOBAL INVESTORS FUND - ALLIANZ EURO 4,611,997.14 4,580,368.03 1.45% EUR 75,393 AMUNDI INDEX EURO CORPORATE SRI 0-3Y UCITS ETF DR 3,786,560.65 3,781,034.34 1.20% EUR 47,639 AMUNDI INDEX MSCI EMERGING MARKETS UCITS ETF DR 3,106,277.18 3,185,572.29 1.01% EUR 2,143 AMUNDI MSCI EUROPE UCITS ETF ETP EUR 600,219.80 638,713.22 0.20% EUR 87,844 AMUNDI S&P 500 UCITS ETF ETP 5,599,563.29 6,986,409.01 2.22% EUR 81,010 AXA WORLD FUNDS - EURO CREDIT SHORT DURATION X 8,245,993.81 8,221,690.89 2.61% EUR 5,784 AXA WORLD FUNDS - US HIGH YIELD BONDS OPEN-END 1,437,665.82 1,451,894.41 0.46% EUR 104,084 BLACKROCK GLOBAL FUNDS - GLOBAL HIGH YIELD BOND 1,208,044.50 1,201,131.21 0.38% EUR 5,598 BLACKROCK GLOBAL INDEX FUNDS - ISHARE EMERGING 644,346.57 643,954.81 0.20% EUR 25,759 BLUEBAY INVESTMENT GRADE BOND FUND OPEN-END FUND 5,055,550.28 5,002,353.91 1.59% EUR 38,350 DWS INVEST EURO CORPORATE BONDS 4,317,626.13 4,314,765.46 1.37% EUR 6,295 DWS INVEST EURO HIGH YIELD CORPORATES OPEN-END 733,868.49 739,046.58 0.23% EUR 622 ELEVA UCITS FUND - ELEVA EUROPEAN SELECTION FUND 1,109,137.00 1,188,644.39 0.38% EUR 1,437 EURIZON FUND - BOND AGGREGATE RMB OPEN-END FUND 179,088.16 187,710.61 0.06% EUR 52,505 EUROPEAN SPECIALIST INVESTMENT FUNDS - M&G 5,332,443.10 5,282,014.47 1.68% EUR 60 EXANE EQUITY SELECT EUROPE OPEN-END FUND 944,816.99 1,003,062.22 0.32% EUR 8,375 FIDELITY FUNDS - EUROPEAN HIGH YIELD FUND OPEN-END 1,229,516.55 1,226,425.79 0.39% EUR 3,753 GOLDMAN SACHS - SICAV I - GS EMERGING MARKETS 572,005.41 561,239.01 0.18% EUR 149,711 INVESCO EURO CORPORATE BOND FUND OPEN-END FUND EUR 3,073,119.57 3,050,791.34 0.97% EUR 207,728 INVESCO EURO SHORT TERM BOND FUND OPEN-END FUND 2,420,842.23 2,409,167.91 0.76% EUR 175,211 INVESCO GLOBAL INVESTMENT GRADE CORPORATE BOND 2,018,060.92 2,007,441.15 0.64% EUR 137,864 INVESCO JAPANESE EQUITY ADVANTAGE FUND 1,914,929.48 1,844,618.90 0.58% EUR 386,816 JANUS HENDERSON FUND - ABSOLUTE RETURN FUND 2,367,235.40 2,356,559.28 0.75% EUR 14,623 JANUS HENDERSON HORIZON EURO CORPORATE BOND FUND 1,825,814.77 1,806,951.26 0.57% EUR 5,056 JANUS HENDERSON HORIZON GLOBAL HIGH YIELD BOND 757,022.70 754,733.90 0.24% EUR 46,559 JPMORGAN FUNDS - GLOBAL CORPORATE BOND FUND 5,188,853.54 5,153,586.60 1.63% EUR 17,294 LYXOR ESG EURO CORPORATE BOND DR UCITS ETF ETP EUR 2,693,080.48 2,698,209.88 0.86% EUR 225,647 LYXOR S&P 500 UCITS ETF ETP EUR 8,636,413.28 9,726,062.64 3.08% EUR 112,477 M&G LUX INVESTMENT FUNDS 1 - M&G LUX GLOBAL 1,384,639.22 1,392,321.42 0.44% EUR 4,182 MAN AHL TREND ALTERNATIVE OPEN-END FUND 493,174.05 465,069.09 0.15% EUR 41,768 MFS MERIDIAN FUNDS - EMERGING MARKETS DEBT FUND 595,192.10 577,649.59 0.18% EUR 3,266 MFS MERIDIAN FUNDS - EUROPEAN RESEARCH FUND 1,027,527.85 1,073,709.66 0.34% EUR 153,442 MORGAN STANELY INVESTMENT FUNDS - SHORT MATURITY 4,756,328.87 4,750,560.23 1.51% EUR 103,231 MORGAN STANLEY INVESTMENT FUNDS - EURO CORPORATE 4,424,233.87 4,909,661.13 1.56% EUR 36,097 NATIXIS ASSET MANAGEMENT - OSTRUM EURO SHORT TERM 3,782,565.98 3,771,736.99 1.20% EUR 252 NN L US CREDIT OPEN-END FUND 1,824,349.78 1,790,027.04 0.57% EUR 12,200 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND FUND 493,605.16 490,677.20 0.16% EUR 4,754 ROBECO CAPITAL GROWTH FUNDS - HIGH YIELD BONDS 1,203,956.75 1,211,182.59 0.38%





146


Cost EUR

Market Value EUR


USD 62,383 SANTANDER GO NORTH AMERICAN EQUITY OPEN-END FUND 1,160,321.20 980,233.74 0.31% EUR 27,706 SCHRODER ISF EMERGING ASIA OPEN-END FUND EUR 1,615,878.37 1,609,088.86 0.51% EUR 464,992 SCHRODER ISF EURO CORPORATE BOND OPEN-END FUND EUR 12,720,071.64 12,567,671.31 3.97% EUR 140,543 STANDARD LIFE INVESTMENTS GLOBAL SICAV - EUROPEAN 2,816,406.52 2,796,045.22 0.89% EUR 153,483 THREADNEEDLE LUX - CREDIT OPPORTUNITIES OPEN-END 1,578,156.93 1,565,049.50 0.50% EUR 15,281 T ROWE PRICE FUNDS SICAV - US SMALLER COMPANIES 517,874.12 553,784.53 0.18% EUR 1,675 UBS LUX BOND SICAV - CHINA FIXED INCOME RMB 180,172.83 191,092.40 0.06% EUR 8,357 UBS LUX FUND SOLUTIONS - BLOOMBERG USD EMERGING 107,001.36 106,551.75 0.03% EUR 19,721 UBS LUX FUND SOLUTIONS - BLOOMBERG US LIQUID 396,467.04 391,067.43 0.12% EUR 16,951 VONTOBEL FUND - EURO CORPORATE BOND OPEN-END FUND 1,980,404.95 1,961,383.55 0.62% EUR 56,047 WELLINGTON GLOBAL QUALITY GROWTH FUND OPEN-END 1,808,075.41 1,923,432.36 0.61% EUR 67,880 XTRACKERS II EUR CORPORATE BOND UCITS ETF ETP EUR 11,079,009.87 11,018,960.40 3.49% EUR 979 XTRACKERS II USD EMERGING MARKETS BOND UCITS ETF 320,793.14 322,962.31 0.10% EUR 8,157 XTRACKERS MSCI EUROPE UCITS ETF ETP EUR 599,255.64 639,100.95 0.20% EUR 115,822 XTRACKERS S&P 500 SWAP UCITS ETF ETP EUR 8,136,724.84 9,356,332.80 2.97%




147


Luxembourg 47.77% Ireland 36.62% United States of America 4.79% Italy 2.31% Germany 1.32% France 0.22%

Total 93.03%


% of Net Assets

Investment funds 84.61% Sovereign 8.42%

Total 93.03%




148

SANTAND ER SELEC T MOD ERATE SANTANDER SELE CT MODERATE




Cost EUR

Market Value EUR



EUR 1,951,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 10/10/2025 2,004,242.67 1,992,045.14 0.83% EUR 1,998,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 15/08/2030 2,071,544.83 2,044,544.61 0.86% EUR 784,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 2.500% 15/08/2046 1,254,733.93 1,254,226.58 0.52%


EUR 1,278,000 REPUBLIC OF ITALY BOND FIXED 1.450% 15/05/2025 1,349,369.36 1,333,686.17 0.56% EUR 1,439,000 REPUBLIC OF ITALY BOND FIXED 3.000% 01/08/2029 1,716,963.65 1,670,951.69 0.69% EUR 504,000 REPUBLIC OF ITALY BOND FIXED 4.750% 01/09/2044 820,850.07 781,378.01 0.33%

Total Italy 3,887,183.08 3,786,015.87 1.58% United States of America

USD 3,288,000 UNITED STATES OF AMERICA BOND FIXED 3.000% 15/11/2045 3,443,418.87 3,474,543.85 1.45% USD 7,784,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/04/25 6,596,042.84 6,694,080.88 2.80% USD 3,873,000 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/05/2030 3,143,355.37 3,185,158.96 1.33%


EUR 3,738 ALGEBRIS UCITS FUNDS PLC - ALGEBRIS FINANCIAL 725,346.37 719,889.08 0.30% EUR 98,671 BAILLIE GIFFORD WORLDWIDE JAPANESE FUND OPEN-END 1,698,873.92 1,637,330.19 0.68% EUR 14,417 BARINGS EMERGING MARKETS LOCAL DEBT FUND OPEN-END 1,436,045.89 1,352,573.29 0.56% EUR 23,999 INVESCO S&P 500 UCITS ETF ETP USD 16,875,866.41 19,225,598.90 8.05% USD 260,666 ISHARES CHINA CNY BOND UCITS ETF ETP USD 1,250,445.93 1,331,844.65 0.56% EUR 51,247 ISHARES CORE EUR CORP BOND UCITS ETF ETP EUR 6,853,568.79 6,866,585.53 2.87% EUR 101,468 ISHARES CORE MSCI EM IMI UCITS ETF USD ACC ETP 3,092,795.37 3,196,140.53 1.33% EUR 30,724 ISHARES CORE MSCI EUROPE UCITS ETF ETP GBP 869,191.18 923,102.58 0.39% EUR 11,407 ISHARES EUR CORP BOND LARGE CAP UCITS ETF ETP EUR 1,585,279.84 1,584,546.37 0.66% EUR 10,930 ISHARES EUR HIGH YIELD CORP BOND UCITS ETF ETP EUR 1,122,789.72 1,121,636.60 0.47% EUR 1,940 ISHARES GLOBAL CORP BOND EUR HEDGED UCITS ETF DIST 201,631.38 202,080.10 0.08% EUR 90,090 ISHARES GLOBAL CORP BOND UCITS ETF ETP EUR 466,025.74 466,540.07 0.19% EUR 142,913 ISHARES GLOBAL HIGH YIELD CORP BOND UCITS ETF ETP 703,549.73 704,489.63 0.29% USD 582,716 ISHARES JP MORGAN EM LOCAL GOVERNMENT BOND UCITS 2,570,552.40 2,522,865.14 1.05% EUR 26,075 ISHARES MSCI ACWI UCITS ETF ETP USD 1,638,253.83 1,745,199.75 0.73% EUR 27,541 ISHARES MSCI EUROPE SRI UCITS ETF ETP EUR 1,695,481.80 1,787,135.49 0.75% EUR 3,916 ISHARES MSCI KOREA UCITS ETF USD DIST ETP GBP 191,834.66 194,076.96 0.08% EUR 404,931 ISHARES MSCI USA ESG SCREENED UCITS ETF ETP USD 2,954,741.01 3,351,208.96 1.40% USD 5,869 ISHARES USD CORP BOND UCITS ETF ETP USD 651,049.80 652,779.17 0.27% EUR 559,614 ISHARES USD HIGH YIELD CORP BOND UCITS ETF ETP EUR 2,677,305.30 2,614,516.61 1.09% EUR 15,404 LYXOR NEWCITS IRL PLC - LYXOR/TIEDEMANN ARBITRAGE 1,568,682.51 1,575,770.04 0.66% EUR 5,402 MONTLAKE UCITS PLATFORM ICAV - CRABEL GEMINI UCITS 537,088.71 557,791.43 0.23% EUR 8,404 MUZINICH FUNDS - ENHANCEDYIELD SHORT-TERM FUND 1,448,014.64 1,441,543.61 0.60% EUR 169,452 NEUBERGER BERMAN SHORT DURATION EMERGING MARKET 1,892,259.79 1,858,888.03 0.78% EUR 12,942 NOMURA FUNDS IRELAND - NOMURA US HIGH YIELD BOND 2,013,876.16 2,018,095.33 0.84%





149


Cost EUR

Market Value EUR


EUR 67,457 PIMCO GLOBAL HIGH YIELD BOND FUND OPEN-END FUND 1,708,957.94 1,708,695.28 0.71% EUR 18,783 PRINCIPAL GLOBAL INVESTORS FUNDS - PREFERRED 240,419.66 237,414.42 0.10% EUR 58,818 SPDR BLOOMBERG BARCLAYS EMERGING MARKETS LOCAL 1,726,625.92 1,659,373.42 0.69% EUR 12,159 SPDR BLOOMBERG BARCLAYS EURO CORPORATE BOND UCITS 720,051.12 721,150.29 0.30% EUR 4,871 SPDR BLOOMBERG BARCLAYS EURO HIGH YIELD BOND UCITS 277,914.81 280,179.92 0.12% EUR 19,706 SPDR MSCI ACWI UCITS ETF ETP USD 3,290,858.26 3,509,244.48 1.47% EUR 24,314 UBS ETF MSCI ACWI SF UCITS ETF ETP USD 3,289,561.67 3,505,835.66 1.46% EUR 9,496 VANGUARD INVESTMENT SERIES PLC - PACIFIC EX-JAPAN 2,460,343.17 2,511,805.34 1.05% EUR 82,307 VANGUARD S&P 500 UCITS ETF ETP GBP 5,846,412.75 6,607,112.12 2.76% EUR 83,666 XTRACKERS MSCI EMERGING MARKETS UCITS ETF ETP EUR 4,512,312.03 4,412,377.51 1.84% EUR 22,616 XTRACKERS USD CORPORATE BOND UCITS ETF ETP EUR 333,264.85 328,700.94 0.14%


EUR 46,172 ABERDEEN STANDARD SICAV I - EMERGING MARKETS 714,582.11 702,346.83 0.29% EUR 818 ALLIANZ GLOBAL INVESTORS FUND - ALLIANZ EURO 938,915.73 931,487.31 0.39% EUR 75,889 AMUNDI INDEX MSCI EMERGING MARKETS UCITS ETF DR 4,948,304.30 5,074,621.54 2.12% EUR 3,006 AMUNDI MSCI EUROPE UCITS ETF ETP EUR 841,932.20 895,927.18 0.37% EUR 109,024 AMUNDI S&P 500 UCITS ETF ETP 6,369,269.93 8,670,896.77 3.62% EUR 5,383 AXA WORLD FUNDS - US HIGH YIELD BONDS OPEN-END 1,338,052.58 1,351,295.38 0.56% EUR 92,830 BLACKROCK GLOBAL FUNDS - GLOBAL HIGH YIELD BOND 1,075,049.63 1,071,258.78 0.45% EUR 7,075 BLACKROCK GLOBAL INDEX FUNDS - ISHARE EMERGING 831,094.32 813,921.80 0.34% EUR 4,821 BLUEBAY INVESTMENT GRADE BOND FUND OPEN-END FUND 946,657.68 936,244.22 0.39% EUR 7,799 DWS INVEST EURO CORPORATE BONDS 878,070.37 877,473.66 0.37% EUR 5,356 DWS INVEST EURO HIGH YIELD CORPORATES OPEN-END 624,485.56 628,891.85 0.26% EUR 1,014 ELEVA UCITS FUND - ELEVA EUROPEAN SELECTION FUND 1,808,651.15 1,938,328.82 0.81% EUR 2,197 EURIZON FUND - BOND AGGREGATE RMB OPEN-END FUND 273,754.86 286,935.17 0.12% EUR 10,677 EUROPEAN SPECIALIST INVESTMENT FUNDS - M&G 1,084,267.03 1,074,134.87 0.45% EUR 97 EXANE EQUITY SELECT EUROPE OPEN-END FUND 1,540,699.02 1,635,678.65 0.68% EUR 7,124 FIDELITY FUNDS - EUROPEAN HIGH YIELD FUND OPEN-END 1,045,558.98 1,043,230.72 0.44% EUR 4,731 GOLDMAN SACHS - SICAV I - GS EMERGING MARKETS 719,507.35 707,586.01 0.30% EUR 30,446 INVESCO EURO CORPORATE BOND FUND OPEN-END FUND EUR 625,602.14 620,429.60 0.26% EUR 56,666 INVESCO GLOBAL INVESTMENT GRADE CORPORATE BOND 658,383.63 649,237.76 0.27% EUR 228,855 INVESCO JAPANESE EQUITY ADVANTAGE FUND 3,165,100.29 3,062,085.84 1.28% EUR 260,273 JANUS HENDERSON FUND - ABSOLUTE RETURN FUND 1,592,816.08 1,585,632.56 0.66% EUR 2,928 JANUS HENDERSON HORIZON EURO CORPORATE BOND FUND 365,630.17 361,852.63 0.15% EUR 4,489 JANUS HENDERSON HORIZON GLOBAL HIGH YIELD BOND 672,087.49 670,055.42 0.28% EUR 10,931 JPMORGAN FUNDS - GLOBAL CORPORATE BOND FUND 1,229,773.16 1,209,987.48 0.51% EUR 5,983 LUMYNA - PSAM GLOBAL EVENT UCITS FUND OPEN-END 796,408.03 808,673.36 0.34% EUR 5,552 LYXOR ESG EURO CORPORATE BOND DR UCITS ETF ETP EUR 864,576.32 866,223.04 0.36% EUR 280,140 LYXOR S&P 500 UCITS ETF ETP EUR 10,722,078.36 12,074,874.42 5.05% EUR 4,605 MAN AHL TREND ALTERNATIVE OPEN-END FUND 543,005.47 512,060.88 0.21% EUR 52,604 MFS MERIDIAN FUNDS - EMERGING MARKETS DEBT FUND 749,603.40 727,509.83 0.30% EUR 5,375 MFS MERIDIAN FUNDS - EUROPEAN RESEARCH FUND 1,691,025.81 1,767,027.96 0.74% EUR 77,227 MORGAN STANELY INVESTMENT FUNDS - SHORT MATURITY 2,393,837.92 2,390,934.58 1.00% EUR 19,707 MORGAN STANLEY INVESTMENT FUNDS - EURO CORPORATE 808,765.26 937,263.68 0.39% EUR 312 NN L US CREDIT OPEN-END FUND 2,247,177.37 2,213,368.67 0.92% EUR 10,390 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND FUND 420,363.13 417,869.63 0.17% EUR 4,229 ROBECO CAPITAL GROWTH FUNDS - HIGH YIELD BONDS 1,071,066.35 1,077,494.61 0.45% USD 107,589 SANTANDER GO NORTH AMERICAN EQUITY OPEN-END FUND 2,001,157.25 1,690,568.18 0.71% EUR 24,698 SCHRODER ISF EMERGING ASIA OPEN-END FUND EUR 1,440,909.90 1,434,371.80 0.60% EUR 94,565 SCHRODER ISF EURO CORPORATE BOND OPEN-END FUND EUR 2,586,498.54 2,555,867.96 1.07% EUR 103,272 THREADNEEDLE LUX - CREDIT OPPORTUNITIES OPEN-END 1,061,877.39 1,053,057.93 0.44% EUR 25,662 T ROWE PRICE FUNDS SICAV - US SMALLER COMPANIES 869,670.49 929,974.93 0.39% EUR 2,560 UBS LUX BOND SICAV - CHINA FIXED INCOME RMB 275,429.65 292,122.36 0.12% EUR 10,589 UBS LUX FUND SOLUTIONS - BLOOMBERG USD EMERGING 139,299.35 135,009.75 0.06% EUR 16,576 UBS LUX FUND SOLUTIONS - BLOOMBERG US LIQUID 333,240.59 328,702.08 0.14% EUR 3,107 VONTOBEL FUND - EURO CORPORATE BOND OPEN-END FUND 363,956.22 359,513.17 0.15% EUR 91,631 WELLINGTON GLOBAL QUALITY GROWTH FUND OPEN-END 2,955,983.10 3,144,577.66 1.31%





150


Cost EUR

Market Value EUR


EUR 20,313 XTRACKERS II EUR CORPORATE BOND UCITS ETF ETP EUR 3,325,437.16 3,297,409.29 1.38% EUR 1,241 XTRACKERS II USD EMERGING MARKETS BOND UCITS ETF 415,158.66 409,393.49 0.17% EUR 11,441 XTRACKERS MSCI EUROPE UCITS ETF ETP EUR 840,515.35 896,402.35 0.37% EUR 143,729 XTRACKERS S&P 500 SWAP UCITS ETF ETP EUR 8,723,741.19 11,610,716.08 4.85%




151


Luxembourg 37.06% Ireland 35.55% United States of America 5.58% Germany 2.21% Italy 1.58%

Total 81.98%


% of Net Assets


Total 81.98%




152

SANTAND ER SELEC T DYNAMIC SANTANDER SELE CT DYNA MIC




Cost EUR

Market Value EUR



EUR 422,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 10/10/2025 433,516.24 430,878.04 0.34% EUR 433,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 15/08/2030 448,938.53 443,086.99 0.34% EUR 170,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 2.500% 15/08/2046 272,072.53 271,962.40 0.21%


EUR 231,000 REPUBLIC OF ITALY BOND FIXED 1.450% 15/05/2025 243,899.98 241,065.34 0.19% EUR 260,000 REPUBLIC OF ITALY BOND FIXED 3.000% 01/08/2029 310,222.60 301,909.27 0.23% EUR 91,000 REPUBLIC OF ITALY BOND FIXED 4.750% 01/09/2044 148,209.03 141,082.14 0.11%

Total Italy 702,331.61 684,056.75 0.53% United States of America

USD 841,000 UNITED STATES OF AMERICA BOND FIXED 3.000% 15/11/2045 880,715.95 888,713.92 0.69% USD 1,991,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/04/25 1,687,143.28 1,712,219.30 1.34% USD 991,000 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/05/2030 804,328.96 814,999.36 0.63%


EUR 2,287 ALGEBRIS UCITS FUNDS PLC - ALGEBRIS FINANCIAL 443,771.84 440,432.39 0.34% EUR 91,300 BAILLIE GIFFORD WORLDWIDE JAPANESE FUND OPEN-END 1,570,497.68 1,515,020.66 1.18% EUR 2,631 BARINGS EMERGING MARKETS LOCAL DEBT FUND OPEN-END 262,027.09 246,796.32 0.19% EUR 21,284 INVESCO S&P 500 UCITS ETF ETP USD 15,263,860.78 17,017,622.20 13.23% USD 169,527 ISHARES CHINA CNY BOND UCITS ETF ETP USD 813,241.26 866,179.81 0.67% EUR 3,565 ISHARES CORE EUR CORP BOND UCITS ETF ETP EUR 476,768.84 477,674.35 0.37% EUR 74,316 ISHARES CORE MSCI EM IMI UCITS ETF USD ACC ETP 2,265,188.84 2,340,879.68 1.82% EUR 15,728 ISHARES CORE MSCI EUROPE UCITS ETF ETP GBP 444,949.84 472,547.76 0.37% EUR 792 ISHARES EUR CORP BOND LARGE CAP UCITS ETF ETP EUR 110,067.65 110,016.72 0.09% EUR 11,047 ISHARES GLOBAL CORP BOND UCITS ETF ETP EUR 57,051.13 57,207.99 0.04% USD 105,727 ISHARES JP MORGAN EM LOCAL GOVERNMENT BOND UCITS 466,142.59 457,744.36 0.36% EUR 23,778 ISHARES MSCI ACWI UCITS ETF ETP USD 1,494,539.78 1,591,461.54 1.24% EUR 25,428 ISHARES MSCI EUROPE SRI UCITS ETF ETP EUR 1,565,401.08 1,650,022.92 1.28% EUR 2,626 ISHARES MSCI KOREA UCITS ETF USD DIST ETP GBP 128,640.91 130,144.56 0.10% EUR 375,543 ISHARES MSCI USA ESG SCREENED UCITS ETF ETP USD 2,740,299.72 3,107,993.87 2.42% USD 1,852 ISHARES USD CORP BOND UCITS ETF ETP USD 205,442.88 205,988.59 0.16% EUR 3,693 MONTLAKE UCITS PLATFORM ICAV - CRABEL GEMINI UCITS 367,109.33 381,260.00 0.30% EUR 30,785 NEUBERGER BERMAN SHORT DURATION EMERGING MARKET 343,866.75 337,709.78 0.26% EUR 1,557 NOMURA FUNDS IRELAND - NOMURA US HIGH YIELD BOND 242,070.34 242,849.11 0.19% EUR 4,051 PIMCO GLOBAL HIGH YIELD BOND FUND OPEN-END FUND 102,903.15 102,619.56 0.08% EUR 11,492 PRINCIPAL GLOBAL INVESTORS FUNDS - PREFERRED 147,099.57 145,260.83 0.11% EUR 10,681 SPDR BLOOMBERG BARCLAYS EMERGING MARKETS LOCAL 313,545.03 301,332.37 0.23% EUR 774 SPDR BLOOMBERG BARCLAYS EURO CORPORATE BOND UCITS 45,835.97 45,905.94 0.04% EUR 17,976 SPDR MSCI ACWI UCITS ETF ETP USD 3,003,250.95 3,201,166.08 2.49% EUR 22,176 UBS ETF MSCI ACWI SF UCITS ETF ETP USD 3,001,526.20 3,197,557.44 2.49%





153


Cost EUR

Market Value EUR


EUR 6,811 VANGUARD INVESTMENT SERIES PLC - PACIFIC EX-JAPAN 1,764,842.89 1,801,757.37 1.40% EUR 69,321 VANGUARD S&P 500 UCITS ETF ETP GBP 5,004,327.78 5,564,673.95 4.33% EUR 61,278 XTRACKERS MSCI EMERGING MARKETS UCITS ETF ETP EUR 3,304,103.11 3,231,679.16 2.51% EUR 6,981 XTRACKERS USD CORPORATE BOND UCITS ETF ETP EUR 102,870.62 101,461.85 0.08%


EUR 8,360 ABERDEEN STANDARD SICAV I - EMERGING MARKETS 129,222.48 127,163.49 0.10% EUR 194 ALLIANZ GLOBAL INVESTORS FUND - ALLIANZ EURO 222,549.73 220,540.92 0.17% EUR 55,581 AMUNDI INDEX MSCI EMERGING MARKETS UCITS ETF DR 3,624,131.31 3,716,645.89 2.89% EUR 1,539 AMUNDI MSCI EUROPE UCITS ETF ETP EUR 431,049.12 458,693.26 0.36% EUR 96,957 AMUNDI S&P 500 UCITS ETF ETP 5,686,161.82 7,711,184.12 6.00% EUR 646 AXA WORLD FUNDS - US HIGH YIELD BONDS OPEN-END 160,545.66 162,134.57 0.13% EUR 5,368 BLACKROCK GLOBAL FUNDS - GLOBAL HIGH YIELD BOND 62,537.32 61,946.84 0.05% EUR 1,276 BLACKROCK GLOBAL INDEX FUNDS - ISHARE EMERGING 146,843.97 146,754.23 0.11% EUR 1,324 BLUEBAY INVESTMENT GRADE BOND FUND OPEN-END FUND 260,076.11 257,215.18 0.20% EUR 37 BNP PARIBAS FUNDS - SUSTAINABLE ENHANCED BOND 12M 3,837,392.59 3,838,605.27 2.99% EUR 1,764 DWS INVEST EURO CORPORATE BONDS 198,550.60 198,462.40 0.15% EUR 0.00030 DWS INVEST EURO HIGH YIELD CORPORATES OPEN-END 0.03 0.04 0.00% EUR 922 ELEVA UCITS FUND - ELEVA EUROPEAN SELECTION FUND 1,644,812.64 1,762,721.89 1.37% EUR 1,429 EURIZON FUND - BOND AGGREGATE RMB OPEN-END FUND 178,039.86 186,611.83 0.15% EUR 2,552 EUROPEAN SPECIALIST INVESTMENT FUNDS - M&G 259,369.16 256,689.95 0.20% EUR 89 EXANE EQUITY SELECT EUROPE OPEN-END FUND 1,401,131.99 1,487,507.72 1.16% EUR 856 GOLDMAN SACHS - SICAV I - GS EMERGING MARKETS 129,222.52 127,956.36 0.10% EUR 6,801 INVESCO EURO CORPORATE BOND FUND OPEN-END FUND EUR 139,958.61 138,580.83 0.11% EUR 8,344 INVESCO GLOBAL INVESTMENT GRADE CORPORATE BOND 95,002.69 95,602.64 0.07% EUR 211,577 INVESCO JAPANESE EQUITY ADVANTAGE FUND 2,925,364.65 2,830,899.98 2.20% EUR 804 JANUS HENDERSON HORIZON EURO CORPORATE BOND FUND 100,449.89 99,412.07 0.08% EUR 264 JANUS HENDERSON HORIZON GLOBAL HIGH YIELD BOND 39,494.29 39,374.89 0.03% EUR 2,213 JPMORGAN FUNDS - GLOBAL CORPORATE BOND FUND 244,292.63 244,956.53 0.19% EUR 354 LYXOR ESG EURO CORPORATE BOND DR UCITS ETF ETP EUR 55,126.08 55,231.08 0.04% EUR 250,206 LYXOR S&P 500 UCITS ETF ETP EUR 9,747,727.81 10,784,629.22 8.37% EUR 3,142 MAN AHL TREND ALTERNATIVE OPEN-END FUND 370,492.36 349,378.72 0.27% EUR 9,483 MFS MERIDIAN FUNDS - EMERGING MARKETS DEBT FUND 135,129.70 131,146.93 0.10% EUR 4,963 MFS MERIDIAN FUNDS - EUROPEAN RESEARCH FUND 1,561,293.28 1,631,464.94 1.27% EUR 5,412 MORGAN STANLEY INVESTMENT FUNDS - EURO CORPORATE 248,817.26 257,404.85 0.20% EUR 65 NN L US CREDIT OPEN-END FUND 470,802.27 461,944.75 0.36% EUR 253 ROBECO CAPITAL GROWTH FUNDS - HIGH YIELD BONDS 64,135.29 64,517.67 0.05% USD 104,060 SANTANDER GO NORTH AMERICAN EQUITY OPEN-END FUND 1,935,526.79 1,635,123.70 1.27% EUR 15,113 SCHRODER ISF EMERGING ASIA OPEN-END FUND EUR 881,923.30 877,709.91 0.68% EUR 22,386 SCHRODER ISF EURO CORPORATE BOND OPEN-END FUND EUR 613,159.52 605,037.23 0.47% EUR 23,810 T ROWE PRICE FUNDS SICAV - US SMALLER COMPANIES 806,925.85 862,879.84 0.67% EUR 1,665 UBS LUX BOND SICAV - CHINA FIXED INCOME RMB 179,105.53 189,960.41 0.15% EUR 1,905 UBS LUX FUND SOLUTIONS - BLOOMBERG USD EMERGING 24,391.24 24,288.75 0.02% EUR 5,113 UBS LUX FUND SOLUTIONS - BLOOMBERG US LIQUID 102,790.73 101,390.79 0.08% EUR 853 VONTOBEL FUND - EURO CORPORATE BOND OPEN-END FUND 99,952.07 98,731.87 0.08% EUR 85,160 WELLINGTON GLOBAL QUALITY GROWTH FUND OPEN-END 2,747,237.20 2,922,513.60 2.27% EUR 1,416 XTRACKERS II EUR CORPORATE BOND UCITS ETF ETP EUR 229,289.34 229,859.28 0.18% EUR 223 XTRACKERS II USD EMERGING MARKETS BOND UCITS ETF 73,071.37 73,565.47 0.06% EUR 5,857 XTRACKERS MSCI EUROPE UCITS ETF ETP EUR 430,285.68 458,895.95 0.36% EUR 127,764 XTRACKERS S&P 500 SWAP UCITS ETF ETP EUR 7,950,941.18 10,321,031.45 8.03%




154


Luxembourg 43.79% Ireland 38.37% United States of America 2.66% Germany 0.89% Italy 0.53%

Total 86.24%


% of Net Assets


Total 86.24%




155

SANTAND ER MULTI INDEX SUBSTANCE SANTANDER MULTI INDEX SUBSTAN CE




Cost EUR

Market Value EUR


Investment funds France

EUR 54,179 LYXOR EUROMTS ALL-MATURITY INVESTMENT GRADE DR 10,535,186.78 10,388,281.46 15.22% EUR 6,367 LYXOR JAPAN TOPIX DR UCITS ETF ETP EUR 887,119.89 933,020.18 1.37%

Total France 11,422,306.67 11,321,301.64 16.59% Ireland

EUR 27,852 ISHARES CORE EUR CORP BOND UCITS ETF ETP EUR 3,748,411.32 3,731,889.48 5.47% EUR 79,496 ISHARES CORE EUR GOVT BOND UCITS ETF EUR DIST ETP 10,538,332.42 10,432,260.08 15.29% EUR 143,438 ISHARES CORE MSCI WORLD UCITS ETF ETP GBP 8,957,048.49 11,328,733.24 16.61% EUR 150,864 SPDR BLOOMBERG BARCLAYS EURO GOVERNMENT BOND UCITS 10,145,724.87 10,024,007.62 14.69% EUR 37,159 VANGUARD S&P 500 UCITS ETF ETP GBP 2,314,677.47 2,972,236.93 4.36%


EUR 163,172 AMUNDI INDEX EURO AGG CORPORATE SRI - UCITS ETF DR 8,838,620.45 8,850,775.62 12.97% EUR 30,521 XTRACKERS II EUROZONE GOVERNMENT BOND UCITS ETF 7,693,147.50 7,599,881.61 11.14% EUR 18,486 XTRACKERS MSCI EUROPE UCITS ETF ETP EUR 1,235,550.18 1,448,378.10 2.12%




156


Ireland 56.42% Luxembourg 26.23% France 16.59%

Total 99.24%


% of Net Assets

Investment funds 99.24%

Total 99.24%




157

SANTAND ER MULTI INDEX BALANC E SANTANDER MULTI INDEX BALANCE




Cost EUR

Market Value EUR



EUR 16,856 LYXOR JAPAN TOPIX DR UCITS ETF ETP EUR 2,339,099.93 2,470,078.24 2.72% EUR 14,257 LYXOR MSCI EUROPE UCITS ETF DIST 2,082,954.53 2,317,617.92 2.56%


EUR 18,433 ISHARES CORE EUR CORP BOND UCITS ETF ETP EUR 2,474,840.71 2,469,837.67 2.72% EUR 89,466 ISHARES CORE EUR GOVT BOND UCITS ETF EUR DIST ETP 11,832,953.80 11,740,623.18 12.95% EUR 284,850 ISHARES CORE MSCI EM IMI UCITS ETF USD ACC ETP 8,232,006.06 8,972,490.15 9.90% EUR 175,140 ISHARES CORE MSCI WORLD UCITS ETF ETP GBP 11,126,538.51 13,832,557.20 15.26% EUR 15,208 ISHARES MSCI AC FAR EAST EX-JAPAN UCITS ETF USD 850,733.35 848,302.24 0.94% EUR 3,303 ISHARES S&P 500 EUR HEDGED UCITS ETF ACC ETP EUR 278,312.27 343,862.12 0.38% EUR 175,815 SPDR BLOOMBERG BARCLAYS EURO GOVERNMENT BOND UCITS 11,797,862.22 11,681,851.86 12.89% EUR 199,004 VANGUARD S&P 500 UCITS ETF ETP GBP 12,258,626.75 15,917,732.95 17.55%






158



Total 99.35%


% of Net Assets


Total 99.35%




159

SANTAND ER MULTI INDEX AM BITION SANTANDER MULTI INDEX AMBITION




Cost EUR

Market Value EUR



EUR 10,078 LYXOR JAPAN TOPIX DR UCITS ETF ETP EUR 1,384,572.17 1,476,830.12 4.19% EUR 14,056 LYXOR MSCI EUROPE UCITS ETF DIST 2,023,088.97 2,284,943.36 6.48%


EUR 167,828 ISHARES CORE MSCI EM IMI UCITS ETF USD ACC ETP 4,720,873.97 5,286,414.17 14.99% EUR 72,883 ISHARES CORE MSCI WORLD UCITS ETF ETP GBP 4,568,317.83 5,756,299.34 16.32% EUR 10,487 ISHARES CORE S&P 500 UCITS ETF USD ACC ETP USD 3,281,004.25 4,514,401.81 12.80% EUR 10,574 ISHARES MSCI AC FAR EAST EX-JAPAN UCITS ETF USD 595,279.47 589,817.72 1.67% EUR 1,523 ISHARES S&P 500 EUR HEDGED UCITS ETF ACC ETP EUR 113,065.68 158,553.44 0.45% EUR 52,864 SPDR BLOOMBERG BARCLAYS EURO GOVERNMENT BOND UCITS 3,548,637.87 3,512,495.62 9.96% EUR 75,666 VANGUARD S&P 500 UCITS ETF ETP GBP 4,552,222.12 6,052,296.34 17.16%






160



Total 99.54%


% of Net Assets


Total 99.54%




161

SANTAND ER SELEC T INC OME SANTANDER SELE CT IN COME




Cost EUR

Market Value EUR


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds Germany

EUR 3,000,000 RAG-STIFTUNG CONVERTIBLE BOND 0.000% 02/10/2024 3,066,168.69 3,091,917.90 0.42% Total Germany 3,066,168.69 3,091,917.90 0.42% Total Bonds 3,066,168.69 3,091,917.90 0.42% Government bonds France

EUR 7,380,000 FRENCH REPUBLIC BOND FIXED 0.500% 25/05/25 7,663,765.79 7,623,466.20 1.04% EUR 5,166,000 FRENCH REPUBLIC BOND FIXED 2.750% 25/10/27 6,131,253.20 6,084,835.09 0.83% EUR 2,297,000 FRENCH REPUBLIC BOND FIXED 3.150% 25/07/32 4,777,960.69 4,811,112.03 0.66% EUR 4,757,000 FRENCH REPUBLIC BOND FIXED 3.500% 25/04/26 5,629,622.90 5,560,162.37 0.76% EUR 4,055,000 FRENCH REPUBLIC BOND FIXED 5.500% 25/04/29 5,788,026.48 5,731,069.37 0.79%


EUR 4,726,000 BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE BOND 0.500% 15/02/26 4,964,545.63 4,928,414.58 0.68%

EUR 5,739,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.250% 15/02/27 6,006,025.22 5,949,099.05 0.81% Total Germany 10,970,570.85 10,877,513.63 1.49% Italy

EUR 10,655,000 REPUBLIC OF ITALY BOND FIXED 4.500% 01/03/24 11,791,377.78 11,707,895.14 1.60% EUR 13,837,000 REPUBLIC OF ITALY BOND FIXED 4.750% 01/08/23 15,014,969.46 14,944,942.43 2.05% EUR 7,696,000 REPUBLIC OF ITALY BOND FIXED 5.000% 01/03/25 9,083,370.75 8,882,015.17 1.22% EUR 5,285,000 REPUBLIC OF ITALY BOND FIXED 6.500% 01/11/27 7,225,815.82 7,081,144.25 0.97%

Total Italy 43,115,533.81 42,615,996.99 5.84% Spain

EUR 16,584,000 KINGDOM OF SPAIN BOND FIXED 1.300% 31/10/26 17,831,629.31 17,746,720.82 2.44% EUR 8,264,000 KINGDOM OF SPAIN BOND FIXED 2.750% 31/10/24 9,047,502.50 9,026,758.94 1.24% EUR 7,565,000 KINGDOM OF SPAIN BOND FIXED 4.650% 30/07/25 9,032,262.95 8,918,227.20 1.22% EUR 6,532,000 KINGDOM OF SPAIN BOND FIXED 5.900% 30/07/26 8,457,409.82 8,350,025.43 1.14% EUR 5,536,000 KINGDOM OF SPAIN BOND FIXED 6.000% 31/01/29 7,929,146.84 7,835,920.13 1.07%

Total Spain 52,297,951.42 51,877,652.52 7.11% The Netherlands

EUR 5,556,000 KINGDOM OF THE NETHERLANDS BOND FIXED 2.000% 15/07/24 5,959,228.30 5,924,910.07 0.81% Total The Netherlands 5,959,228.30 5,924,910.07 0.81%





162


Cost EUR

Market Value EUR



USD 2,742,000 UNITED STATES OF AMERICA BOND FIXED 2.125% 15/02/41 4,513,758.96 4,712,986.29 0.65% USD 13,239,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 15/07/27 14,006,213.99 14,628,624.72 2.00%

Total United States of America 18,519,972.95 19,341,611.01 2.65% Total Government bonds 160,853,886.39 160,448,329.28 21.98% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 163,920,055.08 163,540,247.18 22.40% Investment funds France

EUR 554 AMUNDI ULTRA SHORT TERM BOND SRI OPEN-END FUND EUR 56,073,303.42 56,016,745.62 7.67% EUR 3,213 LAZARD CONVERTIBLE GLOBAL OPEN-END FUND 7,502,100.17 7,136,236.53 0.98%


EUR 366,466 AMUNDI PHYSICAL GOLD PLC ETP EUR 22,295,502.95 23,444,662.35 3.21% USD 335,415 ISHARES LISTED PRIVATE EQUITY UCITS ETF ETP GBP 9,310,358.36 9,783,429.12 1.34% EUR 1,995,102 ISHARES USD HIGH YIELD CORP BOND UCITS ETF ETP EUR 9,422,785.55 9,321,116.54 1.28% EUR 335,645 LAZARD GLOBAL INVESTMENT FUNDS PLC - LAZARD 40,090,468.61 40,839,208.58 5.59% EUR 171,529 LYXOR NEWCITS IRL PLC - LYXOR/TIEDEMANN ARBITRAGE 17,393,713.80 17,546,360.65 2.40% EUR 837,373 NEUBERGER BERMAN SHORT DURATION EMERGING MARKET 9,303,151.52 9,185,978.66 1.26% EUR 1,027,516 PIMCO GIS EMERGING MARKETS BOND ESG FUND OPEN-END 9,470,009.24 9,114,070.22 1.25% EUR 919,863 PIMCO GIS GLOBAL HIGH YIELD BOND FUND OPEN-END 10,899,762.80 10,753,203.51 1.47% EUR 632,087 PRINCIPAL GLOBAL INVESTORS - FINISTERRE 6,623,374.27 6,626,422.64 0.91% EUR 825,761 PRINCIPAL GLOBAL INVESTORS FUNDS - GLOBAL PROPERTY 8,976,561.70 9,463,224.92 1.30%


EUR 648,093 AMUNDI PRIME EURO CORPORATES UCITS ETF DR ETP EUR 13,448,952.05 13,261,278.97 1.82% EUR 43,319 AXA WORLD FUNDS - US HIGH YIELD BONDS OPEN-END 10,773,849.82 10,873,970.77 1.49% EUR 6,011 CANDRIAM BONDS EURO HIGH YIELD OPEN-END FUND EUR 12,773,516.76 12,900,999.41 1.77% EUR 205,252 DWS INVEST EURO CORPORATE BONDS OPEN-END FUND 25,279,282.92 25,087,989.97 3.44% EUR 56,521 GLOBAL EVOLUTION FUNDS - FRONTIER MARKETS OPEN-END 9,099,846.56 9,181,245.09 1.26% EUR 11,946 HELIUM FUND - HELIUM PERFORMANCE OPEN-END FUND EUR 16,367,021.05 16,901,653.07 2.32% EUR 335,048 JANUS HENDERSON HORIZON EURO CORPORATE BOND FUND 41,656,646.65 41,401,865.17 5.67% EUR 521,359 JANUS HENDERSON HORIZON GLOBAL PROPERTY EQUITIES 8,642,502.80 9,332,317.85 1.28% EUR 168,954 LO FUNDS - CONVERTIBLE BOND OPEN-END FUND EUR 3,718,075.46 3,616,483.72 0.50% EUR 128,364 LUMYNA - PSAM GLOBAL EVENT UCITS FUND OPEN-END 17,004,618.93 17,349,711.76 2.38% EUR 71,148 MFS MERIDIAN FUNDS - EMERGING MARKETS DEBT FUND 9,504,720.63 9,166,764.49 1.26% EUR 167,289 NATIXIS ASSET MANAGEMENT - OSTRUM EURO SHORT TERM 17,480,955.97 17,480,051.91 2.39% EUR 945,504 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND FUND 10,979,066.91 10,863,845.36 1.49% EUR 76,001 PICTET - SHORT TERM EMERGING CORPORATE BONDS 5,702,621.33 5,614,168.98 0.77% EUR 302,955 SCHRODER ISF EMERGING MARKETS DEBT ABSOLUTE RETURN 6,597,069.98 6,127,922.68 0.84% EUR 2,151,176 SCHRODER ISF EURO CORPORATE BOND 42,301,131.93 41,404,539.36 5.65% EUR 177,097 UBAM - GLOBAL HIGH YIELD SOLUTION OPEN-END FUND 17,911,658.15 17,900,944.75 2.45% EUR 59,514 VONTOBEL FUND - EMERGING MARKETS DEBT OPEN-END 6,276,834.12 6,139,511.69 0.84%

Total Luxembourg 275,518,372.02 274,605,265.00 37.62%





163


Cost EUR

Market Value EUR


Spain

EUR 7,039 SANTANDER RF CONVERTIBLES FI OPEN-END FUND 7,515,811.04 7,650,490.16 1.05% Total Spain 7,515,811.04 7,650,490.16 1.05% United States of America

USD 137,912 SPDR GOLD SHARES ETP USD 19,696,995.12 20,732,883.94 2.84% Total United States of America 19,696,995.12 20,732,883.94 2.84% Total Investment funds 510,092,270.57 512,219,298.44 70.17% Total investments 674,012,325.65 675,759,545.62 92.57%



164


Luxembourg 37.62% Ireland 20.01% France 12.73% Spain 8.16% Italy 5.84% United States of America 5.49% Germany 1.91% The Netherlands 0.81%

Total 92.57%


% of Net Assets

Investment funds 70.17% Sovereign 21.98% Coal 0.42%

Total 92.57%




165

SANTAND ER GO A BSOLU TE R ETURN SANTANDER GO ABSOLUTE RETU RN




Cost EUR

Market Value EUR



USD 250,000 COMMONWEALTH BANK OF AUSTRALIA NOTES FIXED 2.688% 11/03/31 207,253.89 216,417.10 0.05%

GBP 300,000 NATIONAL AUSTRALIA BANK LTD CALLABLE MEDIUM TERM 1.699% 15/09/2031 349,132.58 348,007.19 0.07%

EUR 300,000 WOOLWORTHS GROUP LTD CALLABLE MEDIUM TERM NOTE 0.375% 15/11/2028 299,028.00 293,838.00 0.06%

Total Australia 855,414.47 858,262.29 0.18% Austria

EUR 200,000 BAWAG GROUP AG CALLABLE MEDIUM TERM NOTE VARIABLE 1.875% 23/09/2030 204,004.00 204,562.80 0.04%

Total Austria 204,004.00 204,562.80 0.04% Belgium

EUR 300,000 AEDIFICA SA CALLABLE BOND FIXED 0.750% 09/09/2031 299,625.00 287,041.80 0.06% EUR 400,000 ALIAXIS FINANCE SA CALLABLE BOND FIXED 0.875% 08/11/2028 396,852.00 393,769.60 0.08% EUR 500,000 BELFIUS BANK SA CALLABLE MEDIUM TERM NOTE VARIABLE

1.250% 06/04/2034 498,660.00 491,797.00 0.11% EUR 500,000 KBC GROUP NV CALLABLE MEDIUM TERM NOTE VARIABLE

0.625% 07/12/2031 499,875.00 491,819.00 0.12% EUR 350,000 ONTEX GROUP NV CALLABLE NOTES FIXED 3.500% 15/07/26 350,000.00 334,285.00 0.07% EUR 400,000 SOFINA SA CALLABLE NOTES FIXED 1% 23/SEP/2028 EUR 1.000%

23/09/2028 396,864.00 391,947.20 0.08% EUR 200,000 VGP NV CALLABLE NOTES FIXED 1.500% 08/04/29 199,044.00 195,524.60 0.04%

Total Belgium 2,640,920.00 2,586,184.20 0.56% Bermuda

USD 198,000 TRITON CONTAINER INTERNATIONAL LTD CALLABLE NOTES 1.150% 07/06/24 161,890.83 171,723.68 0.04%

Total Bermuda 161,890.83 171,723.68 0.04% Brazil

USD 700,000 BANCO BTG PACTUAL SA/CAYMAN ISLANDS CALLABLE 4.500% 10/01/25 619,609.28 621,677.88 0.13%

USD 400,000 BRASKEM NETHERLANDS FINANCE BV CALLABLE NOTES 5.875% 31/01/50 371,963.57 405,875.84 0.09%

USD 400,000 CSN RESOURCES SA CALLABLE NOTES FIXED 4.625% 10/06/31 329,461.88 335,186.42 0.07% USD 600,000 CSN RESOURCES SA CALLABLE NOTES FIXED 4.625% 10/06/31 494,356.10 502,779.64 0.11% USD 700,000 KLABIN AUSTRIA GMBH CALLABLE NOTES FIXED 3.200% 12/01/31 577,789.97 572,458.67 0.12% USD 700,000 PETROBRAS GLOBAL FINANCE BV CALLABLE NOTES FIXED

6.900% 19/03/49 649,042.61 656,490.07 0.15% USD 400,000 SUZANO AUSTRIA GMBH CALLABLE NOTES FIXED 2.500%

15/09/2028 334,341.35 339,869.86 0.07% Total Brazil 3,376,564.76 3,434,338.38 0.74%





166


Cost EUR

Market Value EUR


British Virgin Islands

USD 200,000 GOLD FIELDS OROGEN HOLDINGS BVI LTD CALLABLE NOTES 5.125% 15/05/2024 184,855.33 188,212.06 0.04%

USD 300,000 GOLD FIELDS OROGEN HOLDINGS BVI LTD CALLABLE NOTES 6.125% 15/05/29 293,894.39 303,710.43 0.07%

Total British Virgin Islands 478,749.72 491,922.49 0.11% Canada

USD 700,000 BANK OF MONTREAL MEDIUM TERM NOTE VARIABLE 0.669% 15/09/2026 592,341.87 614,541.46 0.13%

EUR 600,000 BANK OF NOVA SCOTIA/THE MEDIUM TERM NOTE FIXED 0.250% 01/11/2028 599,784.00 587,705.76 0.13%

USD 700,000 BANK OF NOVA SCOTIA/THE NOTES VARIABLE 0.309% 15/09/2023 592,718.04 614,899.67 0.13% USD 700,000 BANK OF NOVA SCOTIA/THE NOTES VARIABLE 0.659% 15/09/2026 592,718.04 615,979.43 0.14% USD 78,000 CENOVUS ENERGY INC CALLABLE NOTES FIXED 2.650%

15/01/2032 65,714.71 67,181.98 0.01% USD 240,000 TORONTO-DOMINION BANK/THE CALLABLE MEDIUM TERM

0.750% 06/01/26 195,279.66 204,704.25 0.04% Total Canada 2,638,556.32 2,705,012.55 0.58% Chile

USD 300,000 EMPRESA NACIONAL DE TELECOMUNICACIONES SA CALLABLE 3.050% 14/09/2032 253,815.11 259,620.56 0.06%

USD 400,000 SOCIEDAD QUIMICA Y MINERA DE CHILE SA CALLABLE 3.500% 10/09/2051 335,898.39 341,257.48 0.07%

Total Chile 589,713.50 600,878.04 0.13% Denmark

EUR 200,000 DANSKE BANK A/S CALLABLE MEDIUM TERM NOTE VARIABLE 15/05/31 199,758.00 199,130.60 0.04%

EUR 200,000 NYKREDIT REALKREDIT AS BOND FIXED 0.250% 13/01/26 199,736.00 198,831.40 0.04% EUR 200,000 NYKREDIT REALKREDIT AS CALLABLE NOTES VARIABLE

28/07/31 199,584.00 198,257.00 0.04% EUR 300,000 NYKREDIT REALKREDIT AS MEDIUM TERM NOTE FIXED 0.375%

17/01/28 298,578.00 292,902.30 0.07% Total Denmark 897,656.00 889,121.30 0.19% Finland

EUR 200,000 FINNAIR OYJ CALLABLE BOND FIXED 4.250% 19/05/25 199,432.00 203,121.00 0.04% GBP 300,000 NORDEA BANK ABP CALLABLE MEDIUM TERM NOTE VARIABLE

1.625% 09/12/2032 348,742.69 343,974.53 0.08% USD 200,000 NORDEA BANK ABP CALLABLE MEDIUM TERM NOTE VARIABLE

3.750% PERP 170,060.80 167,164.97 0.04% EUR 100,000 TEOLLISUUDEN VOIMA OYJ CALLABLE MEDIUM TERM NOTE

1.125% 09/03/26 99,691.00 99,763.50 0.02% EUR 200,000 UPM-KYMMENE OYJ CALLABLE MEDIUM TERM NOTE FIXED

0.500% 22/03/31 197,892.00 194,827.88 0.04% Total Finland 1,015,818.49 1,008,851.88 0.22%





167


Cost EUR

Market Value EUR


France

EUR 200,000 ACCOR SA CALLABLE NOTES FIXED 2.375% 29/11/2028 198,412.00 200,745.00 0.04% EUR 200,000 AIR FRANCE-KLM CALLABLE NOTES FIXED 3.000% 01/07/24 199,294.00 196,753.40 0.04% EUR 700,000 AIR FRANCE-KLM CALLABLE NOTES FIXED 3.875% 01/07/26 694,532.00 677,711.30 0.15% EUR 200,000 ALTICE FRANCE SA/FRANCE CALLABLE BOND FIXED 4.000%

15/07/29 200,000.00 197,871.40 0.04% USD 400,000 ALTICE FRANCE SA/FRANCE CALLABLE NOTES FIXED 5.125%


15/10/2029 356,853.21 362,682.63 0.08% GBP 500,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA MEDIUM TERM

1.000% 16/07/2026 581,449.69 581,280.69 0.13% EUR 300,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

19/01/30 299,016.00 293,191.80 0.06% USD 234,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

2.159% 15/09/2029 198,103.62 201,881.10 0.04% EUR 300,000 BPCE SA BOND FIXED 0.250% 14/01/31 297,789.00 287,367.30 0.06% EUR 400,000 BPCE SA CALLABLE NOTES VARIABLE 13/OCT/2046 EUR 2.125%

13/10/2046 397,264.00 390,016.80 0.08% EUR 500,000 CAB SELAS CALLABLE BOND FIXED 3.375% 01/02/28 494,231.15 501,141.00 0.11% EUR 500,000 CAISSE NATIONALE DE REASSURANCE MUTUELLE AGRICOLE

0.750% 07/07/28 497,525.00 484,960.18 0.10% EUR 200,000 CASINO GUICHARD PERRACHON SA CALLABLE NOTES FIXED

5.250% 15/04/27 200,000.00 190,333.00 0.04% EUR 100,000 CGG SA CALLABLE NOTES FIXED 7.750% 01/04/27 96,980.00 99,575.00 0.02% USD 200,000 CGG SA CALLABLE NOTES FIXED 8.750% 01/04/2027 165,760.52 173,916.64 0.04% EUR 300,000 CHROME BIDCO SASU CALLABLE BOND FIXED 3.500% 31/05/2028 299,250.00 303,194.40 0.07% EUR 300,000 CHROME HOLDCO SASU CALLABLE NOTES FIXED 5.000%

31/05/2029 300,000.00 301,125.00 0.06% EUR 100,000 CNP ASSURANCES CALLABLE NOTES FIXED 0.375% 08/03/28 99,715.00 96,583.70 0.02% EUR 300,000 CREDIT AGRICOLE SA CALLABLE MEDIUM TERM NOTE 0.499%

21/09/2029 299,466.00 296,338.50 0.06% EUR 200,000 ELECTRICITE DE FRANCE SA CALLABLE BOND VARIABLE 3.375%

31/12/64 197,920.00 207,110.00 0.04% GBP 100,000 ELECTRICITE DE FRANCE SA CALLABLE MEDIUM TERM NOTE

6.000% 31/12/64 118,181.92 129,793.28 0.03% EUR 200,000 ELIOR GROUP SA CALLABLE NOTES FIXED 3.750% 15/07/2026 200,000.00 205,419.92 0.04% EUR 500,000 FAURECIA SE CALLABLE NOTES FIXED 2.750% 15/02/2027 500,000.00 510,597.50 0.11% EUR 180,000 GETLINK SE CALLABLE BOND FIXED 3.500% 30/10/25 183,600.00 185,968.08 0.04% EUR 200,000 HOLDING D'INFRASTRUCTURES ET DES METIERS DE 0.625%

16/09/2028 199,536.00 195,965.80 0.04% EUR 100,000 ICADE CALLABLE NOTES FIXED 0.625% 18/01/31 99,865.00 95,975.00 0.02% EUR 100,000 ILIAD SA CALLABLE NOTES FIXED 0.750% 11/02/24 99,844.00 99,400.00 0.02% EUR 800,000 ILIAD SA CALLABLE NOTES FIXED 1.875% 11/02/28 773,576.00 763,552.00 0.16% EUR 500,000 KORIAN SA CALLABLE NOTES FIXED 2.250% 15/10/2028 496,015.00 495,369.25 0.11% GBP 700,000 KORIAN SA CALLABLE NOTES VARIABLE PERP 809,928.51 833,940.33 0.18% EUR 700,000 LA BANQUE POSTALE SA CALLABLE MEDIUM TERM NOTE

VARIABLE 02/08/32 688,530.00 678,053.60 0.15% EUR 900,000 LAGARDERE SA CALLABLE NOTES FIXED 2.125% 16/10/2026 896,250.00 934,063.88 0.23% EUR 700,000 LA POSTE SA MEDIUM TERM NOTE FIXED 1.000% 17/09/2034 718,907.00 704,391.10 0.15% EUR 500,000 PICARD GROUPE SAS CALLABLE BOND FIXED 3.875% 01/07/2026 500,000.00 507,672.50 0.11% EUR 200,000 RENAULT SA CALLABLE MEDIUM TERM NOTE FIXED 1.250%

24/06/25 198,638.00 196,857.40 0.04% EUR 400,000 RENAULT SA CALLABLE MEDIUM TERM NOTE FIXED 2.500%

02/06/2027 400,000.00 401,900.00 0.09% EUR 100,000 RUBIS TERMINAL INFRA SAS CALLABLE BOND FIXED 5.625%

15/05/25 103,875.00 104,312.50 0.02% EUR 400,000 SOCIETE FONCIERE LYONNAISE SA CALLABLE BOND FIXED

0.500% 21/04/2028 396,904.00 395,062.80 0.09% EUR 200,000 SOCIETE GENERALE SA CALLABLE BOND VARIABLE 12/06/29 199,146.00 195,871.00 0.04% EUR 200,000 SUEZ SA CALLABLE MEDIUM TERM NOTE FIXED 0.000% 09/06/26 198,724.00 198,671.60 0.04% EUR 100,000 TELEPERFORMANCE CALLABLE MEDIUM TERM NOTE FIXED

0.250% 26/11/27 99,213.00 98,251.36 0.02% EUR 400,000 TOTALENERGIES SE CALLABLE NOTES VARIABLE EUR 1000

2.000% PERP 395,600.00 394,704.00 0.09%





168


Cost EUR

Market Value EUR


EUR 100,000 UBISOFT ENTERTAINMENT SA CALLABLE BOND FIXED 0.878%

24/11/27 100,000.00 98,032.90 0.02% EUR 500,000 VALLOUREC SA CALLABLE BOND FIXED 8.500% 30/06/2026 533,950.00 517,250.00 0.11%


EUR 200,000 ADLER GROUP SA CALLABLE NOTES FIXED 2.250% 14/01/29 196,414.00 166,500.00 0.04% EUR 600,000 ADLER PELZER HOLDING GMBH CALLABLE BOND FIXED 4.125%

01/04/24 566,500.00 563,613.00 0.12% EUR 600,000 ALLIANZ FINANCE II BV CALLABLE NOTES FIXED 0.500%

22/11/2033 591,564.00 587,306.40 0.13% EUR 400,000 ALLIANZ SE CALLABLE NOTES VARIABLE 2.625% 31/12/64 393,000.00 397,932.80 0.09% EUR 400,000 ALLIANZ SE CALLABLE NOTES VARIABLE EUR 200000 2.600%

PERP 388,000.00 393,000.00 0.08% EUR 200,000 AMPRION GMBH CALLABLE MEDIUM TERM NOTE FIXED 0.625%

23/09/2033 197,482.00 192,868.80 0.04% EUR 300,000 BAYERISCHE LANDESBANK CALLABLE NOTES VARIABLE 1.375%

22/11/2032 299,898.00 301,189.50 0.06% EUR 600,000 COMMERZBANK AG CALLABLE MEDIUM TERM NOTE VARIABLE

1.375% 29/12/2031 597,000.00 588,628.20 0.13% USD 570,000 DEUTSCHE BANK AG/NEW YORK NY NOTES VARIABLE 0.550%

08/11/2023 492,227.98 500,840.89 0.11% EUR 600,000 DEUTSCHE BANK AG CALLABLE NOTES VARIABLE EUR 4.500%

PERP 600,144.00 605,926.20 0.13% EUR 400,000 DEUTSCHE LUFTHANSA AG CALLABLE MEDIUM TERM NOTE

2.000% 14/07/2024 390,760.00 398,390.00 0.09% EUR 500,000 DEUTSCHE LUFTHANSA AG CALLABLE MEDIUM TERM NOTE



3.750% 11/02/28 198,492.00 202,139.60 0.04% EUR 200,000 DEUTSCHE LUFTHANSA AG CALLABLE NOTES FIXED 2.875%

11/02/25 199,070.00 201,253.40 0.04% EUR 400,000 DIC ASSET AG CALLABLE BOND FIXED 2.250% 22/09/2026 397,800.00 380,900.00 0.08% EUR 200,000 FRESENIUS FINANCE IRELAND PLC CALLABLE MEDIUM TERM

0.500% 01/10/28 199,370.00 197,331.80 0.04% EUR 150,000 FRESENIUS FINANCE IRELAND PLC CALLABLE MEDIUM TERM

0.875% 01/10/31 148,734.00 146,975.70 0.03% EUR 400,000 GRENKE FINANCE PLC MEDIUM TERM NOTE FIXED 3.950%

09/07/2025 420,820.00 421,720.00 0.09% EUR 350,000 HOCHTIEF AG CALLABLE MEDIUM TERM NOTE FIXED 0.625%

26/04/29 346,076.50 340,368.70 0.07% EUR 200,000 LEG IMMOBILIEN SE CALLABLE MEDIUM TERM NOTE FIXED

0.875% 30/03/33 198,464.00 193,513.00 0.05% EUR 700,000 MAHLE GMBH CALLABLE MEDIUM TERM NOTE FIXED 2.375%

14/05/28 699,050.00 682,017.00 0.18% EUR 400,000 RWE AG CALLABLE NOTES FIXED 0.625% 11/06/31 398,844.00 392,518.00 0.08% EUR 300,000 STANDARD PROFIL AUTOMOTIVE GMBH CALLABLE BOND

6.250% 30/04/2026 283,939.29 247,162.50 0.05% EUR 200,000 TRATON FINANCE LUXEMBOURG SA CALLABLE MEDIUM TERM

0.750% 24/03/29 199,120.00 197,325.00 0.04% EUR 500,000 TUI CRUISES GMBH CALLABLE NOTES FIXED 6.500% 15/05/2026 511,625.00 499,062.50 0.11% EUR 250,000 VOLKSWAGEN FINANCIAL SERVICES AG MEDIUM TERM NOTE

0.125% 12/02/2027 249,057.50 244,753.25 0.05% EUR 450,000 VOLKSWAGEN FINANCIAL SERVICES AG MEDIUM TERM NOTE

0.375% 12/02/2030 445,702.50 431,816.85 0.09% GBP 200,000 VOLKSWAGEN FINANCIAL SERVICES NV MEDIUM TERM NOTE



1.375% 14/09/2028 576,897.01 573,913.79 0.12%





169


Cost EUR

Market Value EUR


USD 200,000 VOLKSWAGEN GROUP OF AMERICA FINANCE LLC CALLABLE


01/09/2032 397,820.00 387,635.60 0.08% EUR 200,000 WINTERSHALL DEA FINANCE 2 BV CALLABLE NOTES VARIABLE

PERP 200,000.00 196,888.80 0.04% EUR 200,000 WINTERSHALL DEA FINANCE 2 BV CALLABLE NOTES VARIABLE

PERP 200,000.00 194,913.00 0.04% EUR 200,000 ZF FINANCE GMBH CALLABLE MEDIUM TERM NOTE FIXED

2.250% 03/05/2028 198,524.00 199,742.00 0.04% Total Germany 12,517,394.01 12,370,652.48 2.67% Ireland

EUR 100,000 BANK OF IRELAND GROUP PLC CALLABLE MEDIUM TERM VARIABLE 10/05/27 99,618.00 98,736.10 0.02%

EUR 600,000 DXC CAPITAL FUNDING DAC CALLABLE MEDIUM TERM NOTE 0.950% 15/09/2031 598,290.00 575,238.03 0.12%

EUR 300,000 EIRCOM FINANCE DAC CALLABLE BOND FIXED 2.625% 15/02/2027 298,800.00 295,580.40 0.06% EUR 300,000 EIRCOM FINANCE DAC CALLABLE NOTES FIXED 3.500% 15/05/26 308,550.00 305,797.50 0.07% EUR 200,000 PERMANENT TSB GROUP HOLDINGS PLC CALLABLE MEDIUM

2.125% 26/09/2024 204,300.00 203,208.20 0.04% EUR 300,000 PERMANENT TSB GROUP HOLDINGS PLC CALLABLE MEDIUM

3.000% 19/08/2031 305,250.00 305,625.00 0.07% Total Ireland 1,814,808.00 1,784,185.23 0.38% Italy

EUR 300,000 ALMAVIVA-THE ITALIAN INNOVATION CO SPA CALLABLE 4.875% 30/10/2026 300,000.00 301,500.00 0.06%

EUR 400,000 AUTOSTRADE PER L'ITALIA SPA CALLABLE BOND FIXED 2.000% 15/01/30 396,396.00 413,500.00 0.09%

EUR 1,000,000 AUTOSTRADE PER L'ITALIA SPA CALLABLE NOTES FIXED 2.000% 04/12/28 1,037,392.00 1,037,605.00 0.25%

EUR 50,000 BANCA MONTE DEI PASCHI DI SIENA SPA CALLABLE BOND VARIABLE 22/01/30 51,000.00 41,784.50 0.02%

EUR 300,000 BANCA MONTE DEI PASCHI DI SIENA SPA MEDIUM TERM 3.625% 24/09/24 318,000.00 306,212.79 0.07%

EUR 500,000 BANCA POPOLARE DI SONDRIO SCPA CALLABLE MEDIUM 1.250% 13/07/2027 498,915.00 486,902.30 0.10%

EUR 300,000 BANCA POPOLARE DI SONDRIO SCPA CALLABLE MEDIUM 3.875% 25/02/2032 300,000.00 300,750.00 0.06%

EUR 200,000 BPER BANCA CALLABLE MEDIUM TERM NOTE VARIABLE 31/03/27 199,952.00 196,315.20 0.04%

EUR 200,000 ENEL SPA CALLABLE NOTES VARIABLE PERP 197,864.00 194,280.00 0.04% EUR 200,000 ENEL SPA CALLABLE NOTES VARIABLE PERP 198,466.00 195,528.20 0.04% EUR 300,000 ENI SPA CALLABLE NOTES VARIABLE PERP 300,000.00 299,007.00 0.06% EUR 700,000 EVOCA SPA CALLABLE NOTES VARIABLE 4.250% 01/11/26 667,250.00 685,125.00 0.15% EUR 300,000 FINECOBANK BANCA FINECO SPA CALLABLE BOND VARIABLE

0.500% 21/10/2027 299,130.00 293,092.80 0.06% EUR 800,000 GUALA CLOSURES SPA CALLABLE BOND FIXED 3.250% 15/06/28 795,500.00 788,003.20 0.17% EUR 600,000 ICCREA BANCA SPA CALLABLE BOND VARIABLE 2.125%

17/01/2027 599,976.00 597,198.75 0.13% EUR 200,000 ICCREA BANCA SPA CALLABLE NOTES VARIABLE 4.125% 28/11/29 200,000.00 203,900.00 0.04% EUR 200,000 INTESA SANPAOLO SPA CALLABLE BOND VARIABLE EUR 6.250%

31/12/64 215,480.00 218,130.60 0.05% EUR 250,000 INTESA SANPAOLO SPA CALLABLE NOTES VARIABLE EUR 4.125%

31/12/64 250,000.00 244,375.00 0.05% EUR 200,000 INTESA SANPAOLO SPA MEDIUM TERM NOTE FIXED 2.925%

14/10/30 200,000.00 208,851.40 0.05% EUR 200,000 ITALGAS SPA MEDIUM TERM NOTE FIXED 0.000% 16/02/28 197,732.00 193,677.60 0.04% EUR 200,000 ITALGAS SPA MEDIUM TERM NOTE FIXED 0.500% 16/02/33 197,990.00 189,871.00 0.04% EUR 300,000 KEDRION SPA CALLABLE BOND FIXED 3.375% 15/05/26 300,000.00 299,286.00 0.06%





170


Cost EUR

Market Value EUR


EUR 250,000 MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA 0.750%

02/11/2028 250,000.00 245,854.00 0.05% EUR 700,000 NEXI SPA CALLABLE BOND FIXED 2.125% 30/04/29 699,250.00 688,229.50 0.15% EUR 400,000 NEXI SPA CALLABLE NOTES FIXED 1.625% 30/04/26 400,000.00 397,933.20 0.09% EUR 500,000 POSTE ITALIANE SPA CALLABLE BOND VARIABLE PERP 496,460.00 481,565.00 0.10% EUR 100,000 SNAM SPA CALLABLE MEDIUM TERM NOTE FIXED 0.000% 07/12/28 99,728.00 96,270.60 0.02% EUR 200,000 TELECOM ITALIA SPA/MILANO CALLABLE MEDIUM TERM 1.625%

18/01/29 198,148.00 184,000.00 0.04% EUR 410,000 TELECOM ITALIA SPA/MILANO CALLABLE MEDIUM TERM 2.750%

15/04/25 407,212.00 419,929.38 0.09% USD 400,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

03/06/27 327,399.22 342,428.26 0.07% USD 400,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

03/06/32 327,399.22 347,664.14 0.07% EUR 400,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

4.450% PERP 400,000.00 406,138.00 0.09% EUR 300,000 UNICREDIT SPA MEDIUM TERM NOTE FIXED 0.850% 19/01/31 299,655.00 291,276.00 0.06% EUR 200,000 UNIPOL GRUPPO SPA CALLABLE MEDIUM TERM NOTE FIXED

3.250% 23/09/30 205,092.00 227,466.00 0.05% Total Italy 11,831,386.44 11,823,650.42 2.55% Japan

GBP 300,000 EAST JAPAN RAILWAY CO MEDIUM TERM NOTE FIXED 1.162% 15/09/2028 349,132.58 349,044.12 0.08%

EUR 600,000 SOFTBANK GROUP CORP CALLABLE NOTES FIXED 3.375% 06/07/2029 600,000.00 560,395.20 0.12%

EUR 700,000 SOFTBANK GROUP CORP CALLABLE NOTES FIXED 3.875% 06/07/2032 700,000.00 653,537.50 0.13%

USD 640,000 SOFTBANK GROUP CORP CALLABLE NOTES FIXED 4.625% 06/07/2028 539,674.51 549,861.63 0.12%

USD 200,000 SUMITOMO MITSUI FINANCIAL GROUP INC NOTES FIXED 0.508% 12/01/24 162,972.62 173,940.99 0.04%

Total Japan 2,351,779.71 2,286,779.44 0.49% Jersey

GBP 100,000 GATWICK FUNDING LTD CALLABLE MEDIUM TERM NOTE 2.500% 15/04/32 114,461.87 117,377.05 0.03%

Total Jersey 114,461.87 117,377.05 0.03% Luxembourg

EUR 500,000 ADLER GROUP SA CALLABLE NOTES FIXED 2.750% 13/11/26 503,750.00 422,812.50 0.09% EUR 300,000 ALTICE FINANCING SA CALLABLE BOND FIXED 2.250% 15/01/25 292,500.00 293,524.80 0.06% EUR 100,000 ALTICE FINANCING SA CALLABLE BOND FIXED 4.250% 15/08/2029 100,000.00 98,075.20 0.02% USD 492,000 ALTICE FINANCING SA CALLABLE BOND FIXED 5.750% 15/08/2029 414,857.29 428,970.61 0.09% EUR 100,000 AROUNDTOWN SA CALLABLE MEDIUM TERM NOTE VARIABLE

PERP 98,070.00 95,791.00 0.02% EUR 600,000 BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL

1.000% 04/05/28 599,598.00 585,976.80 0.13% EUR 300,000 CBRE GLOBAL INVESTORS OPEN-ENDED FUND SCA 0.900%

12/10/2029 297,546.00 296,609.40 0.06% EUR 300,000 CIRSA FINANCE INTERNATIONAL SARL CALLABLE BOND 4.500%

15/03/2027 300,000.00 294,562.50 0.06% EUR 200,000 CPI PROPERTY GROUP SA CALLABLE NOTES VARIABLE PERP 196,712.00 188,415.20 0.04% EUR 700,000 GARFUNKELUX HOLDCO 3 SA CALLABLE NOTES FIXED 6.750%

01/11/2025 726,450.00 727,632.50 0.17% EUR 100,000 GARFUNKELUX HOLDCO 3 SA CALLABLE NOTES VARIABLE

6.250% 01/05/26 98,500.00 101,172.90 0.02% EUR 100,000 GRAND CITY PROPERTIES SA CALLABLE MEDIUM TERM NOTE

0.125% 11/01/28 98,153.00 96,017.90 0.02%





171


Cost EUR

Market Value EUR


EUR 300,000 HERENS MIDCO SARL CALLABLE NOTES FIXED 5.250% 15/05/29 300,000.00 282,811.20 0.06% EUR 200,000 INPOST SA CALLABLE BOND FIXED 2.250% 15/07/27 200,000.00 196,249.20 0.04% EUR 600,000 KLEOPATRA FINCO SARL CALLABLE BOND FIXED 4.250%

01/03/2026 589,400.00 581,679.00 0.13% EUR 600,000 MATTERHORN TELECOM SA CALLABLE NOTES FIXED 3.125%

15/09/2026 605,000.00 600,015.00 0.13% EUR 500,000 SELP FINANCE SARL CALLABLE BOND FIXED 0.875% 27/05/29 497,085.00 490,025.00 0.11% EUR 200,000 TELENET FINANCE LUXEMBOURG NOTES SARL CALLABLE

3.500% 01/03/2028 205,500.00 205,384.40 0.04% Total Luxembourg 6,123,121.29 5,985,725.11 1.29% Mexico

USD 400,000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN CALLABLE 5.875% PERP 353,731.87 350,422.09 0.08%

USD 310,000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN CALLABLE 6.625% PERP 274,142.20 271,781.57 0.06%

USD 300,000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN CALLABLE VARIABLE PERP 267,227.52 273,544.23 0.06%

USD 700,000 BBVA BANCOMER SA/TEXAS CALLABLE NOTES VARIABLE 5.125% 18/01/33 626,824.23 632,699.18 0.14%

USD 700,000 BRASKEM IDESA SAPI CALLABLE NOTES FIXED 7.450% 15/11/29 645,960.45 638,805.40 0.14% USD 200,000 CEMEX SAB DE CV CALLABLE NOTES FIXED 3.875% 11/07/31 163,138.79 175,503.87 0.04% USD 1,000,000 CORP INMOBILIARIA VESTA SAB DE CV CALLABLE NOTES 3.625%

13/05/31 874,380.97 863,027.62 0.18% USD 600,000 NEMAK SAB DE CV CALLABLE NOTES FIXED 3.625% 28/06/31 502,176.10 515,178.51 0.11% USD 60,000 PETROLEOS MEXICANOS CALLABLE BOND FIXED 6.875% 16/10/25 50,911.01 57,710.69 0.01% USD 600,000 PETROLEOS MEXICANOS CALLABLE MEDIUM TERM NOTE 6.750%

21/09/2047 451,700.22 469,297.40 0.10% Total Mexico 4,210,193.36 4,247,970.56 0.92% Norway

EUR 300,000 ADEVINTA ASA CALLABLE BOND FIXED 2.625% 15/11/2025 307,350.00 307,125.00 0.07% Total Norway 307,350.00 307,125.00 0.07% Panama

EUR 700,000 CARNIVAL CORP CALLABLE BOND FIXED 10.125% 01/02/26 812,550.00 794,342.50 0.17% Total Panama 812,550.00 794,342.50 0.17% Poland

EUR 500,000 SYNTHOS SA CALLABLE BOND FIXED 2.500% 07/06/28 500,000.00 488,197.50 0.11% Total Poland 500,000.00 488,197.50 0.11% Portugal

EUR 600,000 BANCO COMERCIAL PORTUGUES SA CALLABLE MEDIUM TERM 1.750% 07/04/2028 597,162.00 576,181.50 0.12%

EUR 200,000 BANCO COMERCIAL PORTUGUES SA CALLABLE MEDIUM TERM VARIABLE 12/02/27 199,758.00 190,482.40 0.04%

EUR 700,000 CAIXA CENTRAL DE CREDITO AGRICOLA MUTUO CRL 2.500% 05/11/2026 699,342.00 695,314.20 0.16%

EUR 300,000 CAIXA GERAL DE DEPOSITOS SA CALLABLE MEDIUM TERM 0.375% 21/09/2027 299,556.00 295,128.00 0.06%

EUR 600,000 CIA DE SEGUROS FIDELIDADE SA CALLABLE NOTES VARIABLE 04/09/31 615,750.00 644,430.00 0.14%





172


Cost EUR

Market Value EUR


EUR 400,000 EDP - ENERGIAS DE PORTUGAL SA CALLABLE NOTES 1.500%

14/03/2082 397,924.00 387,005.60 0.08% EUR 400,000 EDP - ENERGIAS DE PORTUGAL SA CALLABLE NOTES 1.875%

14/03/2082 397,796.00 381,710.00 0.08% Total Portugal 3,207,288.00 3,170,251.70 0.68% South Africa

USD 900,000 TRANSNET SOC LTD BOND FIXED 4.000% 26/07/2022 772,946.53 789,834.68 0.17% Total South Africa 772,946.53 789,834.68 0.17% Spain

EUR 200,000 ABANCA CORP BANCARIA SA CALLABLE NOTES VARIABLE PERP 200,000.00 207,674.60 0.04% EUR 200,000 ABERTIS INFRAESTRUCTURAS FINANCE BV CALLABLE NOTES

VARIABLE PERP 197,192.00 196,038.00 0.04% EUR 200,000 ACCIONA ENERGIA FINANCIACION FILIALES SA MEDIUM 0.375%

07/10/2027 199,516.00 197,888.00 0.04% EUR 400,000 BANCO DE CREDITO SOCIAL COOPERATIVO SA CALLABLE 1.750%

09/03/2028 398,004.00 384,883.20 0.08% EUR 300,000 BANCO DE CREDITO SOCIAL COOPERATIVO SA CALLABLE 5.250%

27/11/2031 308,625.00 312,300.00 0.07% EUR 200,000 BANCO DE SABADELL SA CALLABLE NOTES VARIABLE 6.125%

31/12/64 184,360.00 207,075.00 0.04% EUR 200,000 BANCO SANTANDER SA CALLABLE BOND VARIABLE EUR 6.750%

31/12/64 208,000.00 204,745.00 0.05% GBP 500,000 BANCO SANTANDER SA CALLABLE MEDIUM TERM NOTE 2.250%

04/10/2032 577,053.51 586,212.70 0.16% EUR 200,000 BANCO SANTANDER SA CALLABLE NOTES VARIABLE EUR 3.625%

PERP 191,000.00 186,738.80 0.04% USD 600,000 BANCO SANTANDER SA CALLABLE NOTES VARIABLE PERP 497,553.70 528,556.10 0.11% EUR 200,000 BANKIA SA CALLABLE BOND VARIABLE EUR 200000 6.000%

31/12/64 204,000.00 205,700.00 0.04% EUR 200,000 BANKINTER SA CALLABLE NOTES VARIABLE 6.250% 31/12/64 200,000.00 224,713.80 0.05% EUR 200,000 CAIXABANK SA CALLABLE BOND VARIABLE EUR 200000 3.625%

PERP 195,040.00 189,875.00 0.04% EUR 400,000 CAIXABANK SA CALLABLE BOND VARIABLE EUR 200000 3.625%

PERP 400,000.00 379,750.00 0.08% EUR 200,000 CAIXABANK SA CALLABLE BOND VARIABLE EUR 200000 5.250%

31/12/64 188,300.00 212,210.00 0.05% EUR 100,000 CAIXABANK SA CALLABLE MEDIUM TERM NOTE VARIABLE

09/02/29 99,514.00 97,982.80 0.02% EUR 100,000 CELLNEX FINANCE CO SA CALLABLE MEDIUM TERM NOTE





2.000% 15/09/2032 395,876.00 385,120.00 0.08% EUR 400,000 GRIFOLS ESCROW ISSUER SA CALLABLE NOTES FIXED 3.875%

15/10/2028 400,000.00 402,472.00 0.09% EUR 400,000 GRUPO ANTOLIN-IRAUSA SA CALLABLE BOND FIXED 3.500%

30/04/2028 395,600.00 378,000.00 0.08% EUR 300,000 GRUPO ANTOLIN-IRAUSA SA CALLABLE NOTES FIXED 3.375%

30/04/2026 289,200.00 292,442.10 0.06% EUR 100,000 IBERCAJA BANCO SA CALLABLE NOTES VARIABLE 2.750%

23/07/30 100,000.00 99,852.20 0.02% EUR 300,000 IBERDROLA FINANZAS SA CALLABLE NOTES VARIABLE EUR

1.575% PERP 300,000.00 299,250.00 0.06%





173


Cost EUR

Market Value EUR


EUR 100,000 INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA 2.750%

25/03/25 100,000.00 98,098.35 0.02% EUR 200,000 INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA 3.750%

25/03/29 199,649.00 196,073.60 0.04% EUR 300,000 KUTXABANK SA CALLABLE BOND VARIABLE 0.500% 14/10/2027 299,013.00 297,570.90 0.06% EUR 400,000 MERLIN PROPERTIES SOCIMI SA CALLABLE MEDIUM TERM

1.375% 01/06/30 396,784.00 394,774.00 0.09% EUR 200,000 NATURGY FINANCE BV CALLABLE BOND VARIABLE 2.374% PERP 200,000.00 201,334.00 0.04% EUR 100,000 NORTEGAS ENERGIA DISTRIBUCION SA CALLABLE MEDIUM

0.905% 22/01/31 100,000.00 97,518.50 0.02% EUR 100,000 SANTANDER CONSUMER FINANCE SA MEDIUM TERM NOTE

0.000% 23/02/26 99,566.00 98,605.30 0.02% EUR 500,000 TELEFONICA EUROPE BV CALLABLE NOTES VARIABLE EUR

2.880% PERP 500,000.00 498,108.50 0.11% EUR 500,000 UNICAJA BANCO SA CALLABLE BOND VARIABLE 1.000%

01/12/2026 499,705.00 498,570.00 0.11% EUR 200,000 UNICAJA BANCO SA CALLABLE NOTES VARIABLE EUR 4.875%

PERP 200,000.00 198,792.00 0.04% Total Spain 9,316,140.21 9,338,557.85 2.01% Supranational

EUR 400,000 ALLIED UNIVERSAL HOLDCO LLC/ALLIED UNIVERSAL 3.625% 01/06/28 400,000.00 392,500.00 0.08%

GBP 300,000 ALLIED UNIVERSAL HOLDCO LLC/ALLIED UNIVERSAL 4.875% 01/06/28 347,605.16 347,709.06 0.07%

EUR 300,000 CANPACK SA / CANPACK US LLC CALLABLE NOTES FIXED 2.375% 01/11/2027 308,100.00 302,107.50 0.07%

Total Supranational 1,055,705.16 1,042,316.56 0.22% Sweden

EUR 600,000 CASTELLUM AB CALLABLE NOTES VARIABLE EUR 3.125% PERP 600,000.00 574,950.00 0.12% EUR 300,000 CASTELLUM HELSINKI FINANCE HOLDING ABP CALLABLE

0.875% 17/09/2029 298,620.00 291,886.43 0.06% EUR 500,000 HEIMSTADEN AB CALLABLE BOND FIXED 4.375% 06/03/2027 496,985.00 500,375.00 0.11% EUR 200,000 HEIMSTADEN BOSTAD AB CALLABLE BOND VARIABLE PERP 198,596.00 189,195.00 0.04% EUR 300,000 HEIMSTADEN BOSTAD TREASURY BV CALLABLE MEDIUM TERM

0.750% 06/09/2029 296,838.00 287,371.62 0.06% EUR 300,000 INTRUM AB CALLABLE MEDIUM TERM NOTE FIXED 3.500%

15/07/2026 304,275.00 304,305.60 0.07% EUR 180,000 INTRUM AB CALLABLE NOTES FIXED EUR 3.000% 15/09/27 180,000.00 177,643.80 0.04% EUR 500,000 NORDEA BANK ABP CALLABLE MEDIUM TERM NOTE VARIABLE

18/08/31 498,920.00 496,313.00 0.11% EUR 100,000 SAGAX EURO MTN NL BV CALLABLE MEDIUM TERM NOTE

0.750% 26/01/28 99,512.00 97,368.20 0.02% EUR 300,000 SAGAX EURO MTN NL BV CALLABLE MEDIUM TERM NOTE

1.000% 17/05/29 298,968.00 291,973.50 0.06% EUR 220,000 SANDVIK AB CALLABLE MEDIUM TERM NOTE FIXED 0.375%

25/11/2028 218,609.60 217,945.64 0.05% EUR 200,000 SKF AB CALLABLE NOTES FIXED 0.250% 15/02/31 197,124.00 190,309.60 0.04% EUR 400,000 SWEDBANK AB CALLABLE NOTES VARIABLE 20/05/27 399,248.00 397,302.80 0.09% USD 200,000 SWEDBANK AB CALLABLE NOTES VARIABLE USD 4.000% PERP 170,772.32 170,154.77 0.04% EUR 300,000 TELEFONAKTIEBOLAGET LM ERICSSON CALLABLE MEDIUM

1.000% 26/05/29 298,488.00 293,210.10 0.06% Total Sweden 4,556,955.92 4,480,305.06 0.97%





174


Cost EUR

Market Value EUR


Switzerland

EUR 200,000 ADECCO INTERNATIONAL FINANCIAL SERVICES BV 0.500% 21/09/2031 199,824.00 193,247.00 0.04%

EUR 200,000 ADECCO INTERNATIONAL FINANCIAL SERVICES BV 1.000% 21/03/2082 198,678.00 197,498.00 0.04%

EUR 200,000 CREDIT SUISSE GROUP AG CALLABLE MEDIUM TERM NOTE 0.625% 18/01/33 198,120.00 186,738.60 0.04%

EUR 400,000 SWISS LIFE FINANCE I LTD CALLABLE NOTES FIXED 0.500% 15/09/2031 397,944.00 389,461.20 0.09%

Total Switzerland 994,566.00 966,944.80 0.21% Thailand

USD 600,000 THAIOIL TREASURY CENTER CO LTD MEDIUM TERM NOTE 3.750% 18/06/2050 482,140.61 466,838.74 0.10%

Total Thailand 482,140.61 466,838.74 0.10% The Netherlands

USD 400,000 AEGON NV CALLABLE BOND VARIABLE PERP 308,378.40 329,841.72 0.07% EUR 500,000 AEGON NV CALLABLE NOTES VARIABLE PERP 437,000.00 453,125.00 0.10% EUR 200,000 ATHORA NETHERLANDS NV CALLABLE NOTES VARIABLE 2.250%

15/07/2031 201,750.00 200,300.00 0.04% USD 600,000 ATHORA NETHERLANDS NV CALLABLE NOTES VARIABLE 6.250%

PERP 535,805.20 545,748.33 0.12% EUR 200,000 COMPACT BIDCO BV CALLABLE BOND FIXED 5.750% 01/05/26 200,000.00 188,946.40 0.04% EUR 200,000 COOPERATIEVE RABOBANK UA CALLABLE NOTES VARIABLE

3.100% PERP 201,500.00 199,625.00 0.04% EUR 300,000 CTP NV CALLABLE MEDIUM TERM NOTE FIXED 0.625% 27/09/2026 299,778.00 296,706.90 0.06% EUR 300,000 CTP NV CALLABLE MEDIUM TERM NOTE FIXED 1.500% 27/09/2031 298,179.00 290,734.20 0.06% EUR 100,000 DANFOSS FINANCE I BV CALLABLE MEDIUM TERM NOTE 0.375%

28/10/28 99,155.00 98,479.00 0.02% EUR 200,000 DE VOLKSBANK NV CALLABLE MEDIUM TERM NOTE FIXED

0.375% 03/03/28 198,654.00 196,637.60 0.04% EUR 200,000 DIGITAL INTREPID HOLDING BV CALLABLE BOND FIXED 0.625%

15/07/31 199,030.00 188,990.80 0.05% EUR 700,000 DUFRY ONE BV CALLABLE BOND FIXED 3.375% 15/04/28 692,800.00 678,562.50 0.18% EUR 400,000 DUFRY ONE BV CALLABLE NOTES FIXED 2.000% 15/02/27 373,000.00 372,270.00 0.08% EUR 300,000 EASYJET FINCO BV CALLABLE MEDIUM TERM NOTE FIXED

1.875% 03/03/28 296,712.60 301,571.10 0.06% EUR 100,000 EXOR NV CALLABLE NOTES FIXED 0.875% 19/01/31 99,089.00 98,056.30 0.02% GBP 300,000 ING GROEP NV CALLABLE MEDIUM TERM NOTE VARIABLE

07/12/28 342,663.55 343,830.97 0.07% EUR 200,000 ING GROEP NV CALLABLE NOTES VARIABLE 0.250% 18/02/29 198,370.00 194,901.60 0.04% EUR 300,000 ING GROEP NV CALLABLE NOTES VARIABLE 01/02/30 298,284.00 289,676.10 0.06% EUR 300,000 ING GROEP NV CALLABLE NOTES VARIABLE 1.000% 16/11/2032 299,079.00 297,689.40 0.06% USD 800,000 ING GROEP NV CALLABLE NOTES VARIABLE USD 1000 3.875%

PERP 675,361.96 670,946.19 0.14% USD 300,000 JDE PEET'S NV CALLABLE NOTES FIXED 1.375% 15/01/2027 254,224.06 254,901.14 0.05% USD 300,000 JDE PEET'S NV CALLABLE NOTES FIXED 2.250% 24/09/2031 254,827.93 254,080.45 0.05% EUR 400,000 LEASEPLAN CORP NV MEDIUM TERM NOTE FIXED 0.250%

07/09/2026 398,692.00 395,005.60 0.09% EUR 200,000 NATIONALE-NEDERLANDEN BANK NV/THE NETHERLANDS

0.500% 21/09/2028 199,602.00 198,110.52 0.04% EUR 500,000 NOBIAN FINANCE BV CALLABLE BOND FIXED 3.625% 15/07/26 500,000.00 496,875.00 0.11% EUR 300,000 SAIPEM FINANCE INTERNATIONAL BV CALLABLE MEDIUM

3.375% 15/07/26 305,142.00 300,930.00 0.06% USD 200,000 STELLANTIS FINANCE US INC CALLABLE NOTES FIXED 1.711%

29/01/2027 169,319.34 172,967.02 0.04% USD 355,000 STELLANTIS FINANCE US INC CALLABLE NOTES FIXED 2.691%

15/09/2031 300,541.82 307,314.16 0.07% EUR 100,000 UNITED GROUP BV CALLABLE BOND FIXED 3.125% 15/02/2026 96,200.00 97,365.00 0.02% EUR 100,000 UNITED GROUP BV CALLABLE NOTES FIXED 4.000% 15/11/27 100,000.00 99,375.00 0.02%





175


Cost EUR

Market Value EUR


EUR 100,000 VZ VENDOR FINANCING II BV CALLABLE BOND FIXED 2.875%

15/01/29 100,000.00 96,987.20 0.02% Total The Netherlands 8,933,138.86 8,910,550.20 1.92% United Kingdom

USD 200,000 ASTRAZENECA PLC CALLABLE NOTES FIXED 0.700% 08/04/26 169,696.71 170,284.15 0.04% EUR 100,000 BARCLAYS BANK PLC CALLABLE MEDIUM TERM NOTE 0.352%

31/12/64 94,225.00 96,419.60 0.02% EUR 300,000 BARCLAYS PLC CALLABLE NOTES VARIABLE 0.577% 09/08/2029 300,000.00 293,264.10 0.06% GBP 300,000 BCP V MODULAR SERVICES FINANCE II PLC CALLABLE 6.125%

30/11/2028 353,509.79 357,119.35 0.08% EUR 500,000 BCP V MODULAR SERVICES FINANCE PLC CALLABLE NOTES

6.750% 30/11/2029 500,000.00 494,062.50 0.11% GBP 100,000 BELLIS ACQUISITION CO PLC CALLABLE BOND FIXED 3.250%

16/02/26 114,133.80 114,940.06 0.02% GBP 500,000 BELLIS FINCO PLC CALLABLE NOTES FIXED 4.000% 16/02/2027 578,195.23 564,909.97 0.12% GBP 400,000 BRACKEN MIDCO1 PLC CALLABLE NOTES FIXED 6.750%

01/11/2027 474,436.57 477,606.79 0.10% USD 700,000 BRITISH TELECOMMUNICATIONS PLC CALLABLE NOTES 4.250%

23/11/2081 616,712.93 618,766.27 0.13% GBP 200,000 BUPA FINANCE PLC CALLABLE NOTES VARIABLE GBP 1000

4.000% PERP 234,114.00 229,516.62 0.05% GBP 100,000 GATWICK AIRPORT FINANCE PLC CALLABLE NOTES FIXED

4.375% 07/04/26 117,391.30 117,242.10 0.03% EUR 100,000 HAMMERSON IRELAND FINANCE DAC CALLABLE NOTES FIXED

1.750% 03/06/27 99,112.00 98,481.00 0.02% USD 400,000 HARBOUR ENERGY PLC CALLABLE NOTES FIXED 5.500%



17/08/2029 305,473.79 308,948.44 0.07% GBP 100,000 ICELAND BONDCO PLC CALLABLE BOND FIXED 4.375% 15/05/28 114,275.69 104,663.06 0.02% GBP 300,000 INVESTEC PLC CALLABLE MEDIUM TERM NOTE VARIABLE

2.625% 04/01/2032 345,854.26 351,592.54 0.08% EUR 200,000 JAGUAR LAND ROVER AUTOMOTIVE PLC CALLABLE NOTES

4.500% 15/07/2028 200,000.00 204,255.80 0.04% USD 200,000 JAGUAR LAND ROVER AUTOMOTIVE PLC CALLABLE NOTES

5.500% 15/07/2029 168,570.11 176,306.72 0.04% USD 300,000 JAGUAR LAND ROVER AUTOMOTIVE PLC CALLABLE NOTES

7.750% 15/10/25 269,916.82 285,569.83 0.06% GBP 500,000 LEEDS BUILDING SOCIETY MEDIUM TERM NOTE FIXED 1.375%

06/10/2027 575,181.30 584,156.73 0.13% EUR 200,000 LLOYDS BANKING GROUP PLC CALLABLE BOND VARIABLE

6.375% 31/12/64 204,769.00 218,405.00 0.05% EUR 100,000 MOTABILITY OPERATIONS GROUP PLC CALLABLE MEDIUM

0.125% 20/07/28 99,502.00 97,952.21 0.02% GBP 100,000 NATIONAL GRID GAS PLC CALLABLE MEDIUM TERM NOTE

1.125% 14/01/33 109,603.35 106,026.99 0.02% EUR 300,000 NATIONAL GRID PLC CALLABLE MEDIUM TERM NOTE FIXED

0.250% 01/09/2028 299,232.00 295,185.00 0.06% EUR 200,000 NATWEST GROUP PLC CALLABLE MEDIUM TERM NOTE 1.043%

14/09/2032 200,000.00 197,331.40 0.04% GBP 200,000 NATWEST GROUP PLC CALLABLE MEDIUM TERM NOTE

VARIABLE 28/11/31 230,846.50 234,571.87 0.05% GBP 300,000 OCADO GROUP PLC CALLABLE NOTES FIXED 3.875% 08/10/2026 349,027.13 348,752.72 0.08% GBP 220,000 PINEWOOD FINANCE CO LTD CALLABLE BOND FIXED 3.625%

15/11/2027 261,955.25 261,786.29 0.06% EUR 100,000 PLAYTECH PLC CALLABLE NOTES FIXED 3.750% 12/10/23 98,300.00 101,125.00 0.02% USD 620,000 PRUDENTIAL PLC CALLABLE MEDIUM TERM NOTE VARIABLE

2.950% 03/11/2033 534,667.13 541,033.42 0.12% GBP 400,000 RAC BOND CO PLC CALLABLE NOTES FIXED 5.250% 04/11/2046 474,686.58 465,605.17 0.10%





176


Cost EUR

Market Value EUR


GBP 700,000 ROTHESAY LIFE PLC CALLABLE NOTES VARIABLE GBP 1000

5.000% PERP 822,837.34 826,932.68 0.16% USD 700,000 ROTHESAY LIFE PLC CALLABLE NOTES VARIABLE USD 1000

4.808% PERP 600,987.35 612,035.88 0.13% GBP 400,000 SAGA PLC CALLABLE BOND FIXED 5.500% 15/07/26 465,701.61 462,718.80 0.10% EUR 400,000 SANTANDER UK GROUP HOLDINGS PLC CALLABLE MEDIUM

0.603% 13/09/2029 400,000.00 391,570.00 0.08% EUR 200,000 SEGRO CAPITAL SARL CALLABLE NOTES FIXED 0.500% 22/09/2031 198,238.00 192,975.20 0.04% EUR 500,000 SHERWOOD FINANCING PLC CALLABLE BOND FIXED 4.500%

15/11/2026 500,000.00 501,212.50 0.11% GBP 500,000 SHERWOOD FINANCING PLC CALLABLE BOND FIXED 6.000%

15/11/2026 591,281.47 595,951.44 0.13% EUR 600,000 SHERWOOD FINANCING PLC CALLABLE BOND VARIABLE 4.625%

15/11/2027 600,000.00 602,728.50 0.13% USD 140,000 SMITH & NEPHEW PLC CALLABLE NOTES FIXED 2.032% 14/10/30 119,032.44 119,028.55 0.03% GBP 200,000 SOUTHERN GAS NETWORKS PLC CALLABLE MEDIUM TERM

1.250% 02/12/31 223,891.83 217,899.74 0.05% USD 600,000 STANDARD CHARTERED PLC CALLABLE BOND VARIABLE USD

4.300% PERP 511,967.24 510,464.30 0.11% USD 200,000 STANDARD CHARTERED PLC CALLABLE NOTES VARIABLE


29/06/32 504,244.06 518,943.25 0.11% EUR 100,000 TESCO CORPORATE TREASURY SERVICES PLC CALLABLE 0.375%

27/07/29 99,335.00 96,171.90 0.02% GBP 400,000 TESCO CORPORATE TREASURY SERVICES PLC CALLABLE 1.875%

02/11/2028 472,448.21 471,250.85 0.10% GBP 500,000 UTMOST GROUP PLC CALLABLE BOND FIXED 4.000% 15/12/2031 581,484.92 594,403.09 0.13% EUR 100,000 VICTORIA PLC CALLABLE BOND FIXED 3.625% 24/08/26 100,000.00 101,722.50 0.02% EUR 100,000 VMED O2 UK FINANCING I PLC CALLABLE BOND FIXED 3.250%

31/01/31 100,000.00 99,543.40 0.02% GBP 500,000 VMED O2 UK FINANCING I PLC CALLABLE BOND FIXED 4.000%


15/07/31 350,878.22 357,313.24 0.08% USD 400,000 VMED O2 UK FINANCING I PLC CALLABLE NOTES FIXED 4.750%

15/07/31 336,162.70 356,774.54 0.08% USD 600,000 VODAFONE GROUP PLC CALLABLE NOTES VARIABLE 04/06/81 489,995.92 523,169.19 0.11% EUR 600,000 VODAFONE GROUP PLC CALLABLE NOTES VARIABLE 3.000%

27/08/2080 610,800.00 606,375.00 0.13% Total United Kingdom 18,762,315.31 18,903,326.98 4.07% United States of America

GBP 100,000 AMERICAN HONDA FINANCE CORP CALLABLE NOTES FIXED 0.750% 25/11/26 111,463.29 115,101.83 0.02%

EUR 200,000 AMERICAN TOWER CORP CALLABLE NOTES FIXED 0.400% 15/02/2027 198,818.00 197,051.00 0.04%

USD 300,000 AMGEN INC CALLABLE NOTES FIXED 1.650% 15/08/2028 253,177.35 258,724.98 0.06% USD 800,000 AMGEN INC CALLABLE NOTES FIXED 2.000% 15/01/2032 671,220.18 681,980.41 0.15% EUR 100,000 ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH

3.000% 01/09/29 100,000.00 98,277.50 0.02% USD 400,000 ASHTEAD CAPITAL INC CALLABLE NOTES FIXED 1.500%

12/08/2026 336,408.79 345,656.83 0.07% USD 400,000 ASHTEAD CAPITAL INC CALLABLE NOTES FIXED 2.450%

12/08/2031 336,422.28 342,872.99 0.07% EUR 500,000 BLACKSTONE PRIVATE CREDIT FUND CALLABLE BOND FIXED

1.750% 30/11/2026 498,925.00 495,804.25 0.11% EUR 400,000 BORGWARNER INC CALLABLE NOTES FIXED 1.000% 19/05/31 395,744.00 393,468.40 0.08% USD 200,000 CBOE GLOBAL MARKETS INC CALLABLE NOTES FIXED 1.625%

15/12/30 164,106.16 167,254.09 0.04% USD 200,000 FORD MOTOR CREDIT CO LLC CALLABLE NOTES FIXED 2.900%

16/02/28 164,873.67 176,562.61 0.04%





177


Cost EUR

Market Value EUR


USD 150,000 FRESENIUS MEDICAL CARE US FINANCE III INC CALLABLE

2.375% 16/02/31 126,639.43 126,198.82 0.03% EUR 300,000 GENERAL MOTORS FINANCIAL CO INC CALLABLE NOTES 0.650%

07/09/2028 299,346.00 295,193.10 0.06% GBP 100,000 GENERAL MOTORS FINANCIAL CO INC CALLABLE NOTES 1.550%

30/07/2027 116,325.74 115,781.28 0.02% USD 270,000 GENERAL MOTORS FINANCIAL CO INC CALLABLE NOTES 2.350%

08/01/31 219,932.39 231,368.52 0.05% EUR 200,000 GOLDMAN SACHS GROUP INC/THE CALLABLE MEDIUM TERM

0.250% 26/01/28 198,840.00 195,139.00 0.04% USD 400,000 HOME DEPOT INC/THE CALLABLE NOTES FIXED 1.375% 15/03/31 324,002.61 331,984.44 0.07% USD 700,000 HYUNDAI CAPITAL AMERICA CALLABLE MEDIUM TERM NOTE

1.650% 17/09/2026 591,886.82 603,956.63 0.13% USD 700,000 HYUNDAI CAPITAL AMERICA CALLABLE MEDIUM TERM NOTE

2.100% 15/09/2028 591,490.09 598,503.10 0.13% EUR 200,000 IQVIA INC CALLABLE BOND FIXED 2.250% 15/03/29 200,000.00 199,695.00 0.04% USD 500,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 0.768%

09/08/2025 421,602.94 432,959.04 0.09% USD 300,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 01/06/25 245,519.27 260,865.55 0.06% USD 50,000 LEVEL 3 FINANCING INC CALLABLE NOTES FIXED 3.625% 15/01/29 42,414.22 41,837.41 0.01% USD 120,000 LOWE'S COS INC CALLABLE NOTES FIXED 1.300% 15/04/28 101,955.36 101,221.17 0.02% USD 150,000 LOWE'S COS INC CALLABLE NOTES FIXED 1.7% 1.700% 15/09/2028 126,727.77 129,352.38 0.03% EUR 500,000 MCDONALD'S CORP CALLABLE MEDIUM TERM NOTE FIXED

0.250% 04/10/2028 496,650.00 492,086.00 0.11% EUR 400,000 MCDONALD'S CORP CALLABLE MEDIUM TERM NOTE FIXED

0.875% 04/10/2033 398,688.00 391,860.40 0.08% USD 140,000 MCKESSON CORP CALLABLE NOTES FIXED 0.900% 03/12/25 116,991.64 119,401.10 0.03% EUR 400,000 MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV

0.625% 09/09/2032 398,140.00 388,712.82 0.08% EUR 300,000 MONDELEZ INTERNATIONAL INC CALLABLE NOTES FIXED

0.750% 17/03/33 297,237.00 289,323.60 0.06% USD 200,000 NASDAQ INC CALLABLE NOTES FIXED 1.650% 15/01/31 164,284.01 163,926.78 0.04% USD 451,000 NISSAN MOTOR ACCEPTANCE CO LLC CALLABLE MEDIUM

1.125% 16/09/2024 381,700.28 389,902.69 0.08% USD 350,000 NISSAN MOTOR ACCEPTANCE CO LLC CALLABLE MEDIUM

1.850% 16/09/2026 296,287.89 300,605.05 0.06% USD 155,000 NISSAN MOTOR ACCEPTANCE CO LLC CALLABLE MEDIUM

2.450% 15/09/2028 131,194.83 132,578.90 0.03% USD 188,000 PERKINELMER INC CALLABLE NOTES FIXED 1.900% 15/09/2028 159,045.58 161,614.33 0.03% USD 194,000 PERKINELMER INC CALLABLE NOTES FIXED 2.250% 15/09/2031 163,742.11 166,068.10 0.04% EUR 100,000 PROLOGIS EURO FINANCE LLC CALLABLE NOTES FIXED 0.500%

16/02/32 99,606.00 95,225.00 0.02% EUR 400,000 SOUTHERN CO/THE CALLABLE NOTES VARIABLE 1.875%

15/09/2081 387,000.00 389,512.00 0.08% EUR 400,000 STANDARD INDUSTRIES INC/NJ CALLABLE NOTES FIXED 2.250%

21/11/26 396,400.00 393,172.00 0.08% USD 100,000 THOR INDUSTRIES INC CALLABLE NOTES FIXED 4.000% 15/10/2029 86,258.95 87,165.85 0.02% USD 800,000 TOYOTA MOTOR CREDIT CORP CALLABLE MEDIUM TERM NOTE




1.500% 18/09/30 84,447.73 82,598.18 0.02% USD 100,000 VISA INC CALLABLE NOTES FIXED 0.750% 15/08/27 84,894.40 84,359.22 0.02%

Total United States of America 12,053,579.11 12,147,177.85 2.62% Total Bonds 128,896,368.81 128,701,539.87 27.74%





178


Cost EUR

Market Value EUR


Government bonds Brazil

USD 600,000 FEDERATIVE REPUBLIC OF BRAZIL CALLABLE BOND FIXED 3.750% 12/09/2031 498,687.94 496,746.40 0.11%

Total Brazil 498,687.94 496,746.40 0.11% Canada

CAD 6,175,000 CANADA BOND FIXED 0.250% 01/03/26 4,086,289.58 4,130,138.54 0.89% CAD 2,250,000 CANADA BOND FIXED 2.250% 01/03/24 1,571,429.32 1,607,796.50 0.35%

Total Canada 5,657,718.90 5,737,935.04 1.24% China

EUR 1,000,000 PEOPLE'S REPUBLIC OF CHINA BOND FIXED 0.625% 25/11/2035 962,250.00 952,400.00 0.21% Total China 962,250.00 952,400.00 0.21% Colombia

USD 400,000 REPUBLIC OF COLOMBIA CALLABLE BOND FIXED 3.125% 15/04/31 332,269.43 315,986.64 0.07% USD 900,000 REPUBLIC OF COLOMBIA CALLABLE BOND FIXED 5.200%

15/05/2049 780,993.90 728,222.83 0.16% Total Colombia 1,113,263.33 1,044,209.47 0.23% Denmark

DKK 5,000,000 KINGDOM OF DENMARK BOND FIXED 1.750% 15/11/25 756,500.94 728,214.77 0.16% Total Denmark 756,500.94 728,214.77 0.16% France

EUR 2,500,000 FRENCH REPUBLIC BOND FIXED 0.750% 25/05/2053 2,395,475.00 2,362,930.00 0.51% Total France 2,395,475.00 2,362,930.00 0.51% Germany

EUR 12,500,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 08/04/22 12,574,021.43 12,522,937.50 2.70% EUR 15,000,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 10/06/2022 15,070,350.00 15,050,055.00 3.24% EUR 10,000,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 11/03/2022 10,042,200.00 10,014,700.00 2.16% EUR 6,500,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 13/10/23 6,606,470.00 6,582,940.00 1.42% EUR 20,000,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.000% 16/09/2022 20,106,000.00 20,101,200.00 4.31% EUR 13,000,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 0.106% 15/04/26 15,193,034.33 15,777,233.41 3.40% EUR 4,500,000 FEDERAL REPUBLIC OF GERMANY BOND FIXED 1.500% 15/05/23 4,681,440.00 4,635,351.00 1.00%

Total Germany 84,273,515.76 84,684,416.91 18.23% Hungary

USD 316,000 HUNGARY BOND FIXED 2.125% 22/09/2031 263,644.75 274,033.57 0.06% USD 210,000 HUNGARY BOND FIXED 3.125% 21/SEP/2051 USD 1000 3.125%

21/09/2051 170,311.13 182,133.08 0.04% Total Hungary 433,955.88 456,166.65 0.10%





179


Cost EUR

Market Value EUR


Indonesia

EUR 100,000 REPUBLIC OF INDONESIA BOND FIXED 1.100% 12/03/33 99,165.00 96,711.10 0.02% EUR 250,000 REPUBLIC OF INDONESIA BOND FIXED 1.400% 30/10/31 247,566.60 251,201.75 0.05% USD 500,000 REPUBLIC OF INDONESIA BOND FIXED 4.350% 11/01/2048 473,379.19 504,627.95 0.11% EUR 435,000 REPUBLIC OF INDONESIA CALLABLE BOND FIXED 1.000%

28/07/2029 434,802.75 428,752.10 0.09% EUR 600,000 REPUBLIC OF INDONESIA CALLABLE BOND FIXED 1.300%

23/03/2034 596,514.00 581,637.60 0.13% USD 700,000 REPUBLIC OF INDONESIA CALLABLE BOND FIXED 3.200%

23/09/2061 582,197.29 593,308.78 0.13% Total Indonesia 2,433,624.83 2,456,239.28 0.53% Italy

EUR 20,000,000 REPUBLIC OF ITALY BOND FIXED 0.000% 15/04/24 20,066,200.00 20,007,320.00 4.30% EUR 9,000,000 REPUBLIC OF ITALY BOND FIXED 0.000% 29/11/2022 9,038,790.00 9,033,981.30 1.95% EUR 251,000 REPUBLIC OF ITALY BOND FIXED 0.152% 15/05/51 249,328.32 263,491.60 0.06% EUR 9,000,000 REPUBLIC OF ITALY BOND FIXED 0.450% 22/05/23 9,280,399.28 9,370,569.15 2.02% EUR 3,000,000 REPUBLIC OF ITALY BOND FIXED 0.500% 20/04/23 3,040,387.06 3,118,049.64 0.67% EUR 1,440,000 REPUBLIC OF ITALY BOND FIXED 0.950% 01/03/37 1,429,544.26 1,326,848.18 0.29% EUR 600,000 REPUBLIC OF ITALY BOND FIXED 1.700% 01/09/51 601,584.00 563,442.52 0.12% EUR 2,000,000 REPUBLIC OF ITALY BOND FIXED EUR 0.550% 21/05/26 1,964,993.86 2,124,099.40 0.46% EUR 1,100,000 REPUBLIC OF ITALY BOND FIXED EUR 0.650% 28/10/27 1,120,623.00 1,183,112.45 0.25% EUR 1,991,000 REPUBLIC OF ITALY BOND FIXED EUR 2.800% 01/03/67 2,462,831.32 2,257,421.68 0.49% EUR 9,000,000 REPUBLIC OF ITALY BOND ZERO CPN 0.000% 28/09/22 9,032,310.00 9,034,902.90 1.95%


JPY 90,200,000 JAPAN BOND FIXED JPY 100000 0.102% 10/03/27 809,492.47 740,195.12 0.16% JPY 62,200,000 JAPAN BOND FIXED JPY 50000 0.400% 20/06/49 537,133.48 444,476.91 0.10%

Total Japan 1,346,625.95 1,184,672.03 0.26% Mexico

EUR 200,000 UNITED MEXICAN STATES CALLABLE BOND FIXED 2.125% 25/10/51 185,512.00 165,496.40 0.04%

USD 200,000 UNITED MEXICAN STATES CALLABLE BOND FIXED 3.771% 24/05/61 168,968.87 162,484.17 0.04%

USD 600,000 UNITED MEXICAN STATES CALLABLE BOND FIXED 4.280% 14/08/41 506,485.35 548,056.63 0.11%

Total Mexico 860,966.22 876,037.20 0.19% New Zealand

NZD 6,000,000 HER MAJESTY THE QUEEN IN RIGHT OF NEW ZEALAND BOND 0.500% 15/05/2024 3,571,642.09 3,492,272.33 0.75%

NZD 3,000,000 HER MAJESTY THE QUEEN IN RIGHT OF NEW ZEALAND BOND 2.750% 15/05/2051 1,796,778.41 1,765,916.36 0.38%

Total New Zealand 5,368,420.50 5,258,188.69 1.13% Norway

NOK 43,500,000 KINGDOM OF NORWAY BOND FIXED 1.750% 13/03/25 4,492,412.87 4,368,257.40 0.94% Total Norway 4,492,412.87 4,368,257.40 0.94%





180


Cost EUR

Market Value EUR


Pakistan

USD 700,000 ISLAMIC REPUBLIC OF PAKISTAN MEDIUM TERM NOTE 8.875% 08/04/2051 619,035.51 613,346.38 0.13%

Total Pakistan 619,035.51 613,346.38 0.13% Peru

EUR 880,000 REPUBLIC OF PERU CALLABLE BOND FIXED 1.950% 17/11/2036 866,386.40 867,508.25 0.19% USD 380,000 REPUBLIC OF PERU CALLABLE BOND FIXED 3.000% 15/01/2034 322,722.57 333,652.83 0.07%

Total Peru 1,189,108.97 1,201,161.08 0.26% Romania

EUR 400,000 ROMANIA MEDIUM TERM NOTE FIXED 2.000% 14/04/33 395,628.00 365,533.20 0.08% EUR 400,000 ROMANIA MEDIUM TERM NOTE FIXED 2.750% 14/04/41 398,604.00 358,401.60 0.08% EUR 150,000 ROMANIA MEDIUM TERM NOTE FIXED 3.375% 28/01/50 155,137.50 141,711.90 0.03%

Total Romania 949,369.50 865,646.70 0.19% Serbia

EUR 1,100,000 SERBIA INTERNATIONAL BOND MEDIUM TERM NOTE FIXED 1.000% 23/09/2028 1,080,805.00 1,044,313.60 0.23%

Total Serbia 1,080,805.00 1,044,313.60 0.23% Spain

EUR 12,000,000 KINGDOM OF SPAIN BILL 0.000% 06/05/2022 12,029,343.91 12,025,470.00 2.59% Total Spain 12,029,343.91 12,025,470.00 2.59% Switzerland

CHF 1,989,000 SWISS CONFEDERATION BOND FIXED 2.250% 22/06/2031 2,370,260.09 2,359,868.70 0.51% CHF 3,025,000 SWISS CONFEDERATION BOND FIXED 2.500% 08/03/2036 4,015,119.58 3,964,153.35 0.85%

Total Switzerland 6,385,379.67 6,324,022.05 1.36% Total Government bonds 191,133,451.78 190,963,612.47 41.16% Equities Denmark

DKK 3,603 ORSTED A/S 472,139.70 404,597.83 0.09% Total Denmark 472,139.70 404,597.83 0.09% Finland

EUR 38,558 NOKIA OYJ 200,381.27 214,922.29 0.05% Total Finland 200,381.27 214,922.29 0.05%





181


Cost EUR

Market Value EUR


France

EUR 4,679 ATOS SE 198,477.09 174,947.81 0.04% EUR 29,557 AXA SA 703,078.10 773,950.05 0.17% EUR 1,288 KERING 917,217.80 910,487.20 0.18% EUR 5,886 RENAULT SA 170,006.50 179,787.87 0.04% EUR 28,521 SOCIETE GENERALE SA 795,896.38 861,476.81 0.19% EUR 2,348 THALES SA 200,354.25 175,630.40 0.04% EUR 6,373 VALEO SA 171,914.91 169,394.34 0.04% EUR 6,010 VEOLIA ENVIRONNEMENT SA 175,780.73 193,882.60 0.04% EUR 43,128 VIVENDI SA 1,060,655.39 512,791.92 0.11%


EUR 866 ALLIANZ SE 173,978.30 179,824.90 0.04% EUR 7,582 BAYERISCHE MOTOREN WERKE AG 655,155.76 670,931.18 0.14% EUR 80,612 TELEFONICA DEUTSCHLAND HOLDING AG 199,931.63 196,773.89 0.04% EUR 95,051 THYSSENKRUPP AG 974,609.02 920,473.88 0.20%


USD 2,474 ACCENTURE PLC 759,438.04 901,861.33 0.19% Total Ireland 759,438.04 901,861.33 0.19% Italy

EUR 9,474 ASSICURAZIONI GENERALI SPA 174,935.61 176,500.62 0.04% Total Italy 174,935.61 176,500.62 0.04% Japan

JPY 8,200 ADVANTEST CORP 653,339.08 682,528.38 0.15% JPY 13,900 ASTELLAS PHARMA INC 198,432.16 198,542.22 0.04% JPY 13,700 KYOCERA CORP 773,131.73 751,880.08 0.16% JPY 6,100 OMRON CORP 531,906.87 533,819.97 0.12% JPY 6,600 SONY CORP 605,902.23 729,529.53 0.16% JPY 6,900 TAKEDA PHARMACEUTICAL CO LTD 197,129.01 165,289.01 0.04% JPY 1,700 TOKYO ELECTRON LTD 654,014.56 860,422.56 0.18%

Total Japan 3,613,855.64 3,922,011.75 0.85% Norway

NOK 37,604 EQUINOR ASA 828,249.28 884,586.41 0.19% Total Norway 828,249.28 884,586.41 0.19% Portugal

EUR 105,216 EDP - ENERGIAS DE PORTUGAL SA 498,625.83 508,403.71 0.11% EUR 8,837 JERONIMO MARTINS SGPS SA 172,809.60 177,623.70 0.04%

Total Portugal 671,435.43 686,027.41 0.15%





182


Cost EUR

Market Value EUR


Spain

EUR 63,131 IBERDROLA SA 674,173.89 657,193.71 0.15% EUR 59,294 REPSOL SA 665,046.57 618,792.18 0.13%


SEK 8,355 ELECTROLUX AB 165,084.98 178,119.24 0.04% SEK 10,595 HENNES & MAURITZ AB 169,264.30 183,250.84 0.03% SEK 5,166 LUNDIN ENERGY AB 178,213.64 162,816.70 0.04% SEK 18,731 TELEFONAKTIEBOLAGET LM ERICSSON 170,352.73 181,542.30 0.04%

Total Sweden 682,915.65 705,729.08 0.15% Switzerland

CHF 6,533 NESTLE SA 799,817.69 803,510.75 0.17% Total Switzerland 799,817.69 803,510.75 0.17% The Netherlands

EUR 60,148 ABN AMRO BANK NV 737,854.12 776,871.57 0.17% EUR 626 ASML HOLDING NV 389,877.29 442,394.20 0.10% EUR 14,272 CNH INDUSTRIAL NV 199,825.13 243,623.04 0.05% EUR 55,997 ING GROEP NV 717,821.21 685,515.27 0.15% EUR 26,659 KONINKLIJKE AHOLD DELHAIZE NV 808,358.14 803,368.97 0.17% EUR 36,034 STELLANTIS NV 605,095.89 601,263.32 0.13% EUR 11,022 STMICROELECTRONICS NV 413,428.57 478,024.14 0.10% EUR 24,641 UNIVERSAL MUSIC GROUP NV 571,111.74 610,603.98 0.13%


GBP 5,191 ANGLO AMERICAN PLC 169,930.83 186,469.79 0.04% GBP 37,146 AVIVA PLC 183,318.59 181,570.59 0.04% GBP 52,507 J SAINSBURY PLC 197,918.31 172,479.54 0.04% GBP 45,015 KINGFISHER PLC 177,719.92 181,378.32 0.04% GBP 236,911 MARKS & SPENCER GROUP PLC 540,099.03 652,942.13 0.14% GBP 263,141 TESCO PLC 858,138.95 908,579.33 0.19% GBP 132,067 VODAFONE GROUP PLC 175,443.45 176,581.60 0.04%


USD 255 ALPHABET INC 562,600.04 648,844.05 0.14% USD 10,686 AMPHENOL CORP 649,653.18 821,840.98 0.18% USD 846 BIOGEN INC 168,488.75 178,484.28 0.04% USD 4,316 CLOROX CO/THE 678,696.50 661,746.19 0.14% USD 8,967 CVS HEALTH CORP 805,153.07 813,432.75 0.18% USD 8,070 HP INC 199,970.13 267,320.53 0.06% USD 4,334 INTEL CORP 199,610.06 196,272.42 0.04% USD 2,290 MICROSOFT CORP 595,065.35 677,253.61 0.15% USD 4,303 NIKE INC 552,723.68 630,655.13 0.14% USD 5,255 PEPSICO INC 803,144.13 802,713.73 0.17% USD 15,334 PFIZER INC 819,124.17 796,229.95 0.17%





183


Cost EUR

Market Value EUR


USD 2,996 ROCKWELL AUTOMATION INC 879,702.61 919,059.62 0.18% USD 4,238 SYNCHRONY FINANCIAL 174,628.94 172,881.48 0.04%

Total United States of America 7,088,560.61 7,586,734.72 1.63% Total Equities 29,773,946.41 30,584,486.72 6.59% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 349,803,767.00 350,249,639.06 75.49% Investment funds France

EUR 9,036 KLEPIERRE SA REIT EUR 1.4 171,543.33 188,400.60 0.04% Total France 171,543.33 188,400.60 0.04% Ireland

USD 244,433 AMUNDI PHYSICAL GOLD PLC ETP EUR 15,232,276.87 15,577,982.55 3.36% USD 659 INVESCO ELWOOD GLOBAL BLOCKCHAIN UCITS ETF ETP USD 68,363.72 65,540.71 0.01% GBP 12,630 INVESCO ELWOOD GLOBAL BLOCKCHAIN UCITS ETF ETP USD 1,490,185.76 1,260,438.50 0.27% USD 958 INVESCO MARKETS PLC - INVESCO MORNINGSTAR US 39,863.88 28,857.10 0.01% USD 6,552 INVESCO MARKETS PLC - INVESCO MORNINGSTAR US 212,578.39 198,079.89 0.04% EUR 76,322 ISHARES AUTOMATION & ROBOTICS UCITS ETF ETP USD 680,497.04 976,005.74 0.21%

Total Ireland 17,723,765.66 18,106,904.49 3.90% Jersey

USD 23,408 ETFS COPPER ETP USD 793,736.05 805,550.55 0.17% USD 27,109 ETFS NICKEL ETP USD 445,617.04 461,928.11 0.10% USD 4,384 ETFS PHYSICAL PALLADIUM ETP USD 803,733.70 681,655.72 0.15% USD 5,745 ETFS PHYSICAL PLATINUM ETP USD 472,908.70 449,061.78 0.10% USD 34,333 ETFS PHYSICAL SILVER ETP USD 670,911.54 648,423.33 0.14% USD 378,927 ETFS WTI CRUDE OIL ETP USD 2,035,096.36 2,389,119.42 0.51% USD 47,220 ETFS ZINC ETP USD 344,723.81 448,864.05 0.10% USD 64,989 WISDOMTREE ALUMINIUM ETP USD 203,575.80 224,706.96 0.05%

Total Jersey 5,770,303.00 6,109,309.92 1.32% Luxembourg

EUR 11,354 AMUNDI MSCI EUROPE QUALITY FACTOR UCITS ETF ETP 982,215.75 1,191,261.68 0.26% EUR 10,921 AMUNDI SMART FACTORY UCITS ETF ETP 714,624.76 893,337.80 0.19% EUR 10,229 AMUNDI STOXX GLOBAL ARTIFICIAL INTELLIGENCE UCITS 664,044.30 910,176.42 0.20% EUR 487,699 LYXOR COMMODITIES THOMSON REUTERS/CORECOMMODITY 8,323,245.51 9,528,663.06 2.05%




184


Germany 21.32% Italy 15.15% Spain 4.88% France 4.70% United Kingdom 4.60% Ireland 4.47% United States of America 4.25% Luxembourg 3.99% The Netherlands 2.92% Canada 1.82% Switzerland 1.74% Japan 1.60% Jersey 1.35% Norway 1.20% New Zealand 1.13% Sweden 1.12% Mexico 1.11% Brazil 0.85% Portugal 0.83% Belgium 0.56% Indonesia 0.53% Denmark 0.44% Finland 0.27% Peru 0.26% Colombia 0.23% Serbia 0.23% Supranational 0.22% China 0.21% Romania 0.19% Australia 0.18% Panama 0.17% South Africa 0.17% Chile 0.13% Pakistan 0.13% British Virgin Islands 0.11% Poland 0.11% Hungary 0.10% Thailand 0.10% Austria 0.04% Bermuda 0.04%

Total 83.45%



185


% of Net Assets

Sovereign 41.16% Investment funds 7.92% Banks 7.71% Telecommunications 2.14% Auto manufacturers 1.95% Insurance 1.91% Food 1.46% Commercial services 1.31% Diversified financial services 1.24% Real estate 1.22% Electricity 1.04% Oil and gas 1.04% Auto parts and equipment 0.88% Healthcare services 0.73% Airlines 0.65% Retail 0.65% Chemicals 0.58% Transportation 0.58% Media 0.57% REITs 0.57% Semiconductors 0.57% Packaging and containers 0.51% Machinery-diversified 0.50% Pharmaceuticals 0.50% Computers 0.49% Internet 0.43% Iron and steel 0.38% Leisure time 0.38% Engineering and construction 0.37% Biotechnology 0.34% Electronics 0.34% Apparel 0.32% Building materials 0.28% Beverages 0.27% Entertainment 0.25% Household products and wares 0.21% Home Furnishings 0.20% Gas 0.19% Software 0.19% Investment companies 0.16% Metal Fabricate and Hardware 0.15% Mining 0.15% Private Equity 0.13% Savings and loans 0.13% Oil and gas services 0.12% Water 0.12% Forest products and paper 0.11% Healthcare products 0.10% Machinery-construction and mining 0.05% Aerospace and defense 0.04% Energy-alternate sources 0.04% Food service 0.04% Lodging 0.04% Home builders 0.02% Pipelines 0.02%

Total 83.45%




186

SANTAND ER GO GLOBA L EQUITY ESG SANTANDER GO GLOBAL EQUITY ESG




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Equities Australia

AUD 576,130 FORTESCUE METALS GROUP LTD 8,810,799.73 8,046,594.50 1.18% Total Australia 8,810,799.73 8,046,594.50 1.18% Finland

EUR 171,551 NESTE OYJ 10,603,190.76 8,459,006.85 1.24% Total Finland 10,603,190.76 8,459,006.85 1.24% Germany

EUR 67,614 DEUTSCHE BOERSE AG 11,354,528.63 11,310,613.21 1.66% Total Germany 11,354,528.63 11,310,613.21 1.66% Ireland

USD 38,359 ACCENTURE PLC 13,212,592.92 15,901,723.45 2.33% USD 48,087 LINDE PLC 14,692,557.60 16,658,779.41 2.45% USD 65,970 TRANE TECHNOLOGIES PLC 12,310,794.42 13,327,919.10 1.95%

Total Ireland 40,215,944.94 45,888,421.96 6.73% Japan

JPY 118,200 SONY CORP 12,344,680.26 14,857,756.94 2.18% Total Japan 12,344,680.26 14,857,756.94 2.18% Sweden

SEK 549,603 SANDVIK AB 14,180,510.32 15,333,777.10 2.25% Total Sweden 14,180,510.32 15,333,777.10 2.25% The Netherlands

EUR 76,791 KONINKLIJKE DSM NV 15,152,599.13 17,290,691.52 2.54% EUR 153,521 SIGNIFY NV 8,760,516.84 7,119,538.80 1.04% EUR 258,284 STMICROELECTRONICS NV 13,099,822.09 12,738,660.84 1.87%


GBP 119,643 ASOS PLC 6,871,501.09 3,874,626.44 0.57% GBP 220,479 ASTRAZENECA PLC 25,418,129.38 25,914,918.25 3.79% USD 260,473 SENSATA TECHNOLOGIES HOLDING PLC 15,151,246.12 16,068,579.37 2.36%






187


Cost USD

Market Value

USD



USD 10,110 ADOBE INC 5,743,668.22 5,732,976.60 0.84% USD 86,959 ADVANCE AUTO PARTS INC 17,683,416.13 20,859,724.92 3.06% USD 118,848 AGCO CORP COMMON STOCK 15,574,056.13 13,788,744.96 2.02% USD 11,494 ALPHABET INC 28,013,375.44 33,298,577.76 4.88% USD 4,709 AMAZON.COM INC 15,814,999.76 15,701,407.06 2.30% USD 36,166 ANTHEM INC 14,299,438.49 16,764,387.64 2.46% USD 171,482 APPLE INC 23,776,341.90 30,450,058.74 4.47% USD 55,439 ASPEN TECHNOLOGY INC 7,862,555.79 8,437,815.80 1.24% USD 722,375 BANK OF AMERICA CORP 29,273,079.62 32,138,463.75 4.71% USD 2,534 BOOKING HOLDINGS INC 5,900,601.40 6,079,648.82 0.89% USD 44,641 CAPITAL ONE FINANCIAL CORP 6,647,630.71 6,476,962.69 0.95% USD 192,335 CBRE GROUP INC 17,839,650.76 20,870,270.85 3.06% USD 8,865 CHARTER COMMUNICATIONS INC 6,278,899.22 5,779,714.05 0.85% USD 63,844 CHENIERE ENERGY INC 6,806,799.74 6,475,058.48 0.95% USD 145,674 COLGATE-PALMOLIVE CO 11,886,316.52 12,431,819.16 1.82% USD 177,783 EBAY INC 11,681,330.84 11,822,569.50 1.73% USD 81,177 ELI LILLY & CO 18,490,948.49 22,422,710.94 3.29% USD 35,884 FACEBOOK INC 12,777,649.32 12,069,583.40 1.77% USD 131,777 MARSH & MCLENNAN COS INC 20,109,277.45 22,905,478.14 3.36% USD 120,185 MERCK & CO INC 10,086,517.81 9,210,978.40 1.35% USD 187,617 MICRON TECHNOLOGY INC 15,478,355.49 17,476,523.55 2.56% USD 134,416 MICROSOFT CORP 37,258,181.57 45,206,789.12 6.63% USD 69,482 NASDAQ INC 12,944,044.84 14,591,914.82 2.14% USD 36,180 NVIDIA CORP 10,496,955.08 10,640,899.80 1.56% USD 31,912 S&P GLOBAL INC 13,115,997.49 15,060,230.16 2.21% USD 57,899 TEXAS INSTRUMENTS INC 11,110,940.31 10,912,224.53 1.60% USD 15,821 THERMO FISHER SCIENTIFIC INC 8,196,278.59 10,556,404.04 1.55% USD 51,481 UNITEDHEALTH GROUP INC 21,639,869.48 25,850,669.34 3.79% USD 63,519 VISA INC 14,431,251.85 13,765,202.49 2.02%

Total United States of America 431,218,428.44 477,777,809.51 70.06% Total Equities 613,181,897.73 664,680,995.29 97.47% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 613,181,897.73 664,680,995.29 97.47% Total investments 613,181,897.73 664,680,995.29 97.47%



188


United States of America 70.06% Ireland 6.73% United Kingdom 6.72% The Netherlands 5.45% Sweden 2.25% Japan 2.18% Germany 1.66% Finland 1.24% Australia 1.18%

Total 97.47%


% of Net Assets

Internet 12.14% Software 8.71% Pharmaceuticals 8.43% Semiconductors 7.59% Computers 6.80% Diversified financial services 6.77% Healthcare services 6.25% Chemicals 4.99% Banks 4.71% Insurance 3.36% Real estate 3.06% Retail 3.06% Electronics 2.36% Machinery-construction and mining 2.25% Commercial services 2.21% Home Furnishings 2.18% Machinery-diversified 2.02% Miscellaneous manufacture 1.95% Cosmetics and personal care 1.82% Healthcare products 1.55% Oil and gas 1.24% Iron and steel 1.18% Electrical components and equipment 1.04% Pipelines 0.95% Media 0.85%

Total 97.47%




189

SANTAND ER COV ER ED BOND SANTANDER COVE RED BOND




Cost EUR

Market Value EUR



EUR 200,000 NATIONAL AUSTRALIA BANK LTD BOND FIXED 0.010% 06/01/29 199,468.80 197,233.80 0.86% Total Australia 199,468.80 197,233.80 0.86% Austria

EUR 200,000 ERSTE GROUP BANK AG MEDIUM TERM NOTE FIXED 0.250% 26/06/24 202,321.84 202,462.00 0.89%

EUR 200,000 HYPO NOE LANDESBANK FUER NIEDEROESTERREICH UND 0.125% 23/06/31 199,641.37 196,501.00 0.86%

EUR 200,000 KOMMUNALKREDIT AUSTRIA AG BOND FIXED 0.010% 29/09/2028 199,918.98 197,184.80 0.86% Total Austria 601,882.19 596,147.80 2.61% Belgium

EUR 200,000 BELFIUS BANK SA MEDIUM TERM NOTE FIXED 1.000% 12/06/28 211,972.98 211,605.60 0.93% EUR 300,000 BNP PARIBAS FORTIS SA MEDIUM TERM NOTE FIXED 0.625%

04/10/25 308,815.10 307,967.76 1.35% EUR 300,000 KBC BANK NV MEDIUM TERM NOTE FIXED 0.750% 24/10/27 313,112.63 312,290.70 1.35% EUR 100,000 KBC GROUP NV CALLABLE MEDIUM TERM NOTE VARIABLE

0.500% 03/12/29 99,862.93 99,597.80 0.44% EUR 100,000 KBC GROUP NV MEDIUM TERM NOTE FIXED 0.750% 31/05/31 101,168.22 99,409.56 0.44%

Total Belgium 1,034,931.86 1,030,871.42 4.51% Canada

EUR 200,000 HSBC BANK CANADA BOND FIXED 0.010% 14/09/2026 202,294.32 199,702.80 0.87% Total Canada 202,294.32 199,702.80 0.87% Denmark



EUR 300,000 JYSKE REALKREDIT A/S BOND FIXED 0.010% 01/10/27 305,354.70 298,732.20 1.31% Total Denmark 806,728.64 797,463.10 3.49% Finland

EUR 100,000 OP CORPORATE BANK PLC CALLABLE NOTES VARIABLE 1.625% 09/06/30 102,862.33 102,439.80 0.45%

Total Finland 102,862.33 102,439.80 0.45% France

EUR 200,000 ARKEA HOME LOANS SFH SA BOND FIXED 0.010% 04/10/30 199,319.71 195,923.40 0.86% EUR 300,000 AXA BANK EUROPE SCF MEDIUM TERM NOTE FIXED 0.010%

22/01/27 299,199.39 299,654.70 1.31% EUR 200,000 AXA HOME LOAN SFH SA BOND FIXED 0.125% 25/06/35 197,432.22 190,872.80 0.84% EUR 200,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA BOND FIXED

0.250% 19/07/28 197,303.19 195,406.40 0.86%





190


Cost EUR

Market Value EUR


EUR 200,000 BPCE SA CALLABLE MEDIUM TERM NOTE VARIABLE 0.500%

15/09/27 200,735.33 199,390.20 0.87% EUR 200,000 BPCE SFH SA BOND FIXED 0.01% 16/OCT/2028 EUR 0.010%

16/10/2028 202,507.85 198,588.40 0.87% EUR 300,000 BPCE SFH SA MEDIUM TERM NOTE FIXED 0.010% 29/01/29 306,580.15 297,447.90 1.30% EUR 300,000 CIE DE FINANCEMENT FONCIER SA BOND FIXED 0.750% 29/05/26 311,118.49 310,440.60 1.34% EUR 200,000 CIE DE FINANCEMENT FONCIER SA MEDIUM TERM NOTE 0.010%

16/04/29 201,634.87 198,033.60 0.87% EUR 300,000 CREDIT AGRICOLE SA MEDIUM TERM NOTE FIXED 0.375%

20/04/2028 298,505.05 295,782.90 1.30% EUR 100,000 CREDIT MUTUEL ARKEA SA CALLABLE MEDIUM TERM NOTE

1.875% 25/10/29 103,670.52 103,283.10 0.45% EUR 100,000 CREDIT MUTUEL ARKEA SA MEDIUM TERM NOTE FIXED 0.875%

25/10/2031 101,685.01 99,900.20 0.44% EUR 200,000 MMB SCF SACA MEDIUM TERM NOTE FIXED 0.010% 20/09/2031 198,013.60 193,616.40 0.85%


EUR 200,000 COMMERZBANK AG MEDIUM TERM NOTE FIXED 0.500% 13/09/23 201,917.00 201,849.60 0.88% EUR 100,000 DEUTSCHE BANK AG MEDIUM TERM NOTE FIXED 2.750%

17/02/2025 105,528.06 105,257.50 0.46% EUR 200,000 DEUTSCHE PFANDBRIEFBANK AG BOND VARIABLE 0.390%

28/07/23 200,065.07 201,923.60 0.88% EUR 300,000 DEUTSCHE PFANDBRIEFBANK AG MEDIUM TERM NOTE FIXED

2.375% 29/05/28 345,012.15 343,594.20 1.51% Total Germany 852,522.28 852,624.90 3.73% Iceland

EUR 200,000 ARION BANKI HF BOND FIXED 0.050% 05/10/2026 199,573.86 198,175.60 0.87% EUR 200,000 ISLANDSBANKI HF MEDIUM TERM NOTE FIXED 0.500% 20/11/23 201,561.78 201,436.20 0.88%

Total Iceland 401,135.64 399,611.80 1.75% Ireland

EUR 100,000 AIB GROUP PLC CALLABLE MEDIUM TERM NOTE VARIABLE 1.875% 19/11/2029 102,164.73 101,919.70 0.45%

EUR 200,000 BANK OF IRELAND GROUP PLC MEDIUM TERM NOTE FIXED 1.375% 29/08/23 202,398.08 204,628.00 0.89%

EUR 100,000 BANK OF IRELAND MEDIUM TERM NOTE FIXED 10.000% 19/12/22 109,382.56 109,448.40 0.48% Total Ireland 413,945.37 415,996.10 1.82% Italy

EUR 500,000 BPER BANCA BOND FIXED EUR 1000 1.000% 22/07/23 507,496.79 510,030.00 2.23% EUR 100,000 CREDIT AGRICOLE ITALIA SPA BOND FIXED 0.125% 15/03/33 98,753.00 96,993.00 0.42% EUR 200,000 CREDIT AGRICOLE ITALIA SPA BOND FIXED 0.250% 17/01/28 199,869.32 201,744.00 0.88% EUR 300,000 CREDIT AGRICOLE ITALIA SPA MEDIUM TERM NOTE FIXED

1.000% 25/03/27 313,715.07 314,647.80 1.38% EUR 200,000 CREDITO EMILIANO SPA MEDIUM TERM NOTE FIXED 0.010%

07/07/2028 199,621.36 198,314.20 0.87% EUR 300,000 CREDITO EMILIANO SPA MEDIUM TERM NOTE FIXED 1.125%

17/01/24 306,865.85 308,218.83 1.35% EUR 200,000 ICCREA BANCA SPA MEDIUM TERM NOTE FIXED 0.010%

23/09/2028 200,174.15 197,735.52 0.87% EUR 200,000 INTESA SANPAOLO SPA BOND VARIABLE 17/03/23 200,344.18 200,398.96 0.88% EUR 300,000 MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA BOND

0.010% 03/02/31 302,377.40 292,593.99 1.28%





191


Cost EUR

Market Value EUR


EUR 250,000 MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA MEDIUM

VARIABLE 25/01/24 254,497.61 255,872.25 1.12% EUR 500,000 UNICREDIT SPA BOND VARIABLE EUR 1000 0.310% 30/06/23 499,904.62 503,277.55 2.20% EUR 150,000 UNICREDIT SPA CALLABLE MEDIUM TERM NOTE VARIABLE

4.375% 03/01/27 154,100.14 150,000.00 0.66% Total Italy 3,237,719.49 3,229,826.10 14.14% Luxembourg

EUR 200,000 NORD/LB LUXEMBOURG SA COVERED BOND BANK MEDIUM 0.010% 10/06/27 199,307.89 197,702.49 0.87%

EUR 400,000 NORD/LB LUXEMBOURG SA COVERED BOND BANK MEDIUM 0.050% 28/01/25 401,735.32 400,446.40 1.75%

Total Luxembourg 601,043.21 598,148.89 2.62% New Zealand

EUR 100,000 WESTPAC SECURITIES NZ LTD/LONDON MEDIUM TERM NOTE 0.010% 08/06/28 100,019.48 98,708.50 0.43%

Total New Zealand 100,019.48 98,708.50 0.43% Norway

EUR 200,000 MOERE BOLIGKREDITT AS MEDIUM TERM NOTE FIXED 0.010% 28/09/2026 202,100.44 199,604.45 0.87%

Total Norway 202,100.44 199,604.45 0.87% Portugal

EUR 200,000 BANCO SANTANDER TOTTA SA BOND FIXED 1.250% 26/09/27 212,532.59 213,793.00 0.94% EUR 500,000 CAIXA GERAL DE DEPOSITOS SA MEDIUM TERM NOTE FIXED

1.000% 27/01/22 500,425.75 500,489.00 2.19% Total Portugal 712,958.34 714,282.00 3.13% Spain

EUR 200,000 AYT CEDULAS CAJAS X FONDO DE TITULIZACION DE 3.750% 30/06/25 227,455.51 225,741.10 0.99%

EUR 200,000 AYT CEDULAS CAJAS X FONDO DE TITULIZACION DE 3.750% 30/06/25 226,639.35 225,741.10 0.99%

EUR 300,000 BANCO DE SABADELL SA MEDIUM TERM NOTE FIXED 0.125% 10/02/28 297,830.44 299,755.50 1.31%

EUR 200,000 BANCO DE SABADELL SA MEDIUM TERM NOTE FIXED 0.875% 0.875% 05/03/2023 202,039.42 202,058.60 0.88%

EUR 300,000 BANCO SANTANDER SA BOND FIXED 0.125% 04/06/30 298,379.30 297,418.20 1.30% EUR 200,000 BANCO SANTANDER SA BOND FIXED EUR 0.010% 27/02/25 201,769.85 200,819.60 0.88% EUR 200,000 BANCO SANTANDER SA MEDIUM TERM NOTE FIXED 1.375%

05/01/26 208,870.89 207,863.00 0.91% EUR 300,000 BANKIA SA BOND FIXED EUR 100000 1.000% 25/09/25 310,614.21 311,276.40 1.36% EUR 100,000 BANKIA SA CALLABLE MEDIUM TERM NOTE VARIABLE 3.750%

15/02/29 106,364.48 106,108.40 0.46% EUR 200,000 BANKINTER SA BOND FIXED EUR 1.250% 07/02/28 214,450.37 212,931.00 0.93% EUR 200,000 BANKINTER SA CALLABLE BOND VARIABLE 2.500% 06/04/27 204,431.41 201,255.80 0.89% EUR 500,000 CAJA RURAL DE NAVARRA SCC BOND FIXED 0.875% 08/05/25 515,225.74 514,152.00 2.28% EUR 200,000 EUROCAJA RURAL SCC BOND FIXED 0.125% 22/09/2031 198,905.12 195,352.00 0.86%





192


Cost EUR

Market Value EUR


EUR 200,000 PITCH1 BOND FIXED EUR 100000 5.125% 20/07/22 205,769.00 206,071.00 0.90% EUR 200,000 PROGRAMA CEDULAS TDA FONDO DE TITULIZACION DE 4.250%

10/04/31 272,129.61 271,593.62 1.19% Total Spain 3,690,874.70 3,678,137.32 16.13% Switzerland

EUR 200,000 CREDIT SUISSE GROUP AG CALLABLE MEDIUM TERM NOTE 3.250% 02/04/2026 218,475.57 217,692.60 0.95%

Total Switzerland 218,475.57 217,692.60 0.95% The Netherlands

EUR 300,000 ACHMEA BANK NV BOND FIXED .01% 16/JUN/2025 EUR 0.010% 16/06/25 300,258.71 300,817.80 1.32%

EUR 200,000 AEGON BANK NV MEDIUM TERM NOTE FIXED 0.375% 09/06/36 197,743.86 195,903.60 0.86% EUR 300,000 AEGON BANK NV MEDIUM TERM NOTE FIXED 0.375% 21/11/56 307,121.11 304,330.20 1.33% EUR 300,000 ING GROEP NV CALLABLE NOTES VARIABLE 0.125% 29/11/2025 300,598.02 299,945.70 1.31% EUR 300,000 NATIONALE-NEDERLANDEN BANK NV/THE NETHERLANDS

0.500% 10/10/56 308,937.32 305,551.80 1.34% EUR 300,000 NATIONALE-NEDERLANDEN BANK NV/THE NETHERLANDS BOND

0.010% 08/07/30 301,635.36 294,691.20 1.29% EUR 100,000 NATIONALE-NEDERLANDEN LEVENSVERZEKERING VARIABLE

29/08/42 110,445.07 105,887.80 0.46% EUR 200,000 NIBC BANK NV BOND FIXED 0.125% 25/11/2062 198,012.86 196,539.40 0.86% EUR 200,000 NIBC BANK NV MEDIUM TERM NOTE FIXED 0.125% 21/04/31 199,502.76 196,000.80 0.86% EUR 300,000 NIBC BANK NV MEDIUM TERM NOTE FIXED 0.625% 01/06/58 311,519.17 307,913.10 1.35%


EUR 200,000 BARCLAYS PLC CALLABLE NOTES VARIABLE 12/05/26 202,462.36 204,105.00 0.89% EUR 200,000 COVENTRY BUILDING SOCIETY BOND FIXED 0.010% 07/07/2028 199,740.24 197,434.40 0.86% EUR 200,000 COVENTRY BUILDING SOCIETY MEDIUM TERM NOTE FIXED

0.500% 12/01/24 202,431.82 203,046.00 0.89% EUR 200,000 SANTANDER UK GROUP HOLDINGS PLC CALLABLE MEDIUM

0.603% 13/09/2029 197,982.22 195,785.00 0.86% EUR 200,000 YORKSHIRE BUILDING SOCIETY MEDIUM TERM NOTE FIXED

0.010% 13/10/27 201,929.89 198,548.80 0.87% Total United Kingdom 1,004,546.53 998,919.20 4.37% United States of America

EUR 200,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE 0.412% 22/09/2026 203,824.61 203,535.96 0.89%

EUR 100,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE 0.654% 26/10/31 99,057.44 97,569.68 0.43%

EUR 200,000 CITIGROUP INC CALLABLE MEDIUM TERM NOTE VARIABLE 1.250% 06/07/26 207,578.59 206,789.10 0.91%

EUR 200,000 JPMORGAN CHASE & CO CALLABLE MEDIUM TERM NOTE 1.090% 11/03/27 207,017.08 205,990.80 0.90%

EUR 200,000 MORGAN STANLEY CALLABLE NOTES VARIABLE 29/10/27 200,083.32 198,833.00 0.87% Total United States of America 917,561.04 912,718.54 4.00% Total Bonds 20,654,549.85 20,526,051.12 89.87%





193


Cost EUR

Market Value EUR


Government bonds Italy

EUR 285,000 REPUBLIC OF ITALY BOND FIXED 1.700% 01/09/51 286,805.79 267,635.20 1.17% Total Italy 286,805.79 267,635.20 1.17% Portugal

EUR 300,000 AUTONOMOUS REGION OF THE AZORES BOND FIXED 0.603% 21/07/26 300,000.00 305,476.98 1.34%

EUR 500,000 PORTUGUESE REPUBLIC BOND VARIABLE EUR 1.000% 23/07/25 514,957.99 524,027.05 2.30% Total Portugal 814,957.99 829,504.03 3.64% Spain

EUR 300,000 AUTONOMOUS COMMUNITY OF MADRID SPAIN BOND FIXED 0.420% 30/04/31 300,000.00 295,469.40 1.29%

Total Spain 300,000.00 295,469.40 1.29% Total Government bonds 1,401,763.78 1,392,608.63 6.10% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 22,056,313.63 21,918,659.75 95.97% Total investments 22,056,313.63 21,918,659.75 95.97%



194


Spain 17.42% Italy 15.31% France 12.16% The Netherlands 10.98% Portugal 6.77% Belgium 4.51% United Kingdom 4.37% United States of America 4.00% Germany 3.73% Denmark 3.49% Luxembourg 2.62% Austria 2.61% Ireland 1.82% Iceland 1.75% Switzerland 0.95% Canada 0.87% Norway 0.87% Australia 0.86% Finland 0.45% New Zealand 0.43%

Total 95.97%


% of Net Assets

Banks 74.51% Diversified financial services 12.28% Sovereign 3.47% Savings and loans 2.62% Municipal 1.34% Regional authority 1.29% Insurance 0.46%

Total 95.97%




195

SANTAND ER GO DYNAMIC BOND SANTANDER GO DYNAMIC BOND




Cost USD

Market Value

USD



GBP 200,000 APT PIPELINES LTD CALLABLE MEDIUM TERM NOTE FIXED 2.500% 15/03/36 276,202.34 264,436.67 0.11%

USD 200,000 SANTOS FINANCE LTD CALLABLE NOTES FIXED 3.649% 29/04/31 198,940.00 203,936.25 0.08% USD 200,000 SANTOS FINANCE LTD CALLABLE NOTES FIXED 3.649% 29/04/31 201,182.00 203,936.25 0.08% USD 100,000 SYDNEY AIRPORT FINANCE CO PTY LTD CALLABLE NOTES

3.900% 22/03/23 105,109.00 103,342.31 0.04% EUR 200,000 WOOLWORTHS GROUP LTD CALLABLE MEDIUM TERM NOTE

0.375% 15/11/2028 235,584.22 222,031.38 0.09% Total Australia 1,017,017.56 997,682.86 0.40% Austria

EUR 200,000 ERSTE GROUP BANK AG CALLABLE BOND VARIABLE EUR 6.500% PERP 258,541.19 250,011.26 0.10%

EUR 200,000 IMMOFINANZ AG CALLABLE NOTES FIXED 2.500% 15/10/27 242,486.27 237,348.62 0.09% Total Austria 501,027.46 487,359.88 0.19% Bermuda

USD 800,000 MARVELL TECHNOLOGY INC CALLABLE NOTES FIXED 2.950% 15/04/2031 803,376.00 816,348.31 0.32%

USD 200,000 VIKING OCEAN CRUISES SHIP VII LTD CALLABLE NOTES 5.625% 15/02/29 200,000.00 200,031.00 0.08%

Total Bermuda 1,003,376.00 1,016,379.31 0.40% Brazil

USD 200,000 ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND MEDIUM TERM 5.500% 06/08/22 210,730.00 205,184.00 0.08%

USD 1,233,000 PETROBRAS GLOBAL FINANCE BV CALLABLE NOTES FIXED 5.999% 27/01/28 1,409,852.25 1,344,777.62 0.53%

USD 42,000 PETROBRAS GLOBAL FINANCE BV NOTES FIXED 6.850% PERP 46,401.60 41,767.95 0.02% Total Brazil 1,666,983.85 1,591,729.57 0.63% Canada

CAD 100,000 AIR CANADA CALLABLE NOTES FIXED 4.625% 15/08/2029 79,579.82 78,119.88 0.03% USD 200,000 BROOKFIELD FINANCE INC CALLABLE NOTES FIXED 4.700%

20/09/47 227,960.99 245,955.24 0.10% USD 100,000 ENBRIDGE INC NOTES VARIABLE USD 1000 0.880% 18/02/22 100,000.00 100,035.93 0.04% EUR 150,000 FAIRFAX FINANCIAL HOLDINGS LTD CALLABLE BOND FIXED

2.750% 29/03/28 179,864.50 184,632.32 0.07% USD 300,000 FAIRFAX FINANCIAL HOLDINGS LTD CALLABLE NOTES 4.625%

29/04/30 323,230.64 336,523.05 0.14% Total Canada 910,635.95 945,266.42 0.38% Cayman Islands

USD 1,100,000 ATLAS SENIOR LOAN FUND LTD 2017-8A A FLOATING 1.530% 16/01/30 1,100,220.00 1,098,003.50 0.43%

USD 457,000 AVOLON HOLDINGS FUNDING LTD CALLABLE NOTES FIXED 2.528% 18/11/2027 472,740.90 445,856.86 0.18%





196


Cost USD

Market Value

USD


USD 114,307 BLUEMOUNTAIN CLO 2015-2 LTD 2015-2A A1R FLOATING 1.148%

18/07/27 113,963.97 114,327.81 0.05% USD 200,000 SANDS CHINA LTD CALLABLE NOTES FIXED 2.850% 08/03/2029 199,494.00 188,495.00 0.07% USD 300,000 SANDS CHINA LTD CALLABLE NOTES FIXED 5.400% 08/08/28 339,570.00 323,290.50 0.13% USD 600,000 WYNN MACAU LTD CALLABLE NOTES FIXED 5.625% 26/08/2028 606,750.00 557,025.00 0.22%

Total Cayman Islands 2,832,738.87 2,726,998.67 1.08% France

EUR 100,000 ALTAREA SCA CALLABLE NOTES FIXED 1.875% 17/01/28 111,449.15 114,419.13 0.05% EUR 200,000 ALTICE FRANCE SA/FRANCE CALLABLE NOTES FIXED 4.250%


15/10/2029 200,000.00 197,341.00 0.08% EUR 400,000 ARGAN SA CALLABLE BOND FIXED 1.011% 17/11/2026 461,820.00 452,837.09 0.18% USD 200,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

1.904% 30/09/28 202,952.00 195,420.26 0.08% USD 400,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

19/04/32 400,000.00 404,455.45 0.16% USD 400,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

2.159% 15/09/2029 400,000.00 392,177.41 0.16% USD 400,000 BNP PARIBAS SA CALLABLE MEDIUM TERM NOTE VARIABLE

3.052% 13/01/31 416,884.00 412,055.36 0.16% EUR 200,000 BPCE SA CALLABLE NOTES VARIABLE 13/OCT/2046 EUR 2.125%

13/10/2046 230,889.84 221,012.06 0.09% EUR 100,000 CEETRUS SA CALLABLE NOTES FIXED 2.750% 26/11/26 111,794.92 122,618.76 0.05% EUR 100,000 HOLDING D'INFRASTRUCTURES ET DES METIERS DE 0.125%

16/09/2025 117,906.74 112,167.55 0.04% EUR 200,000 HOLDING D'INFRASTRUCTURES ET DES METIERS DE 0.625%

16/09/2028 235,801.67 222,175.46 0.09% EUR 200,000 MUTUELLE ASSURANCE DES COMMERCANTS ET INDUSTRIELS

VARIABLE 21/06/52 240,753.77 227,649.92 0.09% USD 400,000 SOCIETE GENERALE SA CALLABLE BOND VARIABLE PERP 444,400.00 435,500.00 0.17% USD 100,000 SOCIETE GENERALE SA CALLABLE NOTES VARIABLE USD 6.750%


USD 700,000 BAYER US FINANCE II LLC CALLABLE NOTES FIXED 4.375% 15/12/28 822,190.00 782,830.11 0.31%

USD 200,000 DEUTSCHE BANK AG/NEW YORK NY CALLABLE NOTES 2.129% 24/11/26 203,733.11 199,775.45 0.08%



USD 600,000 DEUTSCHE BANK AG/NEW YORK NY CALLABLE NOTES VARIABLE 14/01/32 597,660.00 614,361.62 0.24%

USD 400,000 DEUTSCHE BANK AG/NEW YORK NY NOTES FIXED 3.300% 16/11/22 417,866.00 408,242.42 0.16% EUR 700,000 DEUTSCHE BANK AG CALLABLE MEDIUM TERM NOTE VARIABLE

03/09/26 866,790.26 816,427.53 0.35% USD 200,000 DEUTSCHE BANK AG CALLABLE NOTES VARIABLE USD 6.000%

31/12/64 200,056.00 207,136.00 0.08% EUR 100,000 DEUTSCHE BANK AG MEDIUM TERM NOTE FIXED 1.625% 20/01/27 110,683.04 118,159.85 0.05% GBP 100,000 DEUTSCHE BANK AG MEDIUM TERM NOTE FIXED 2.625% 16/12/24 129,960.69 137,792.65 0.05% EUR 100,000 FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE

2.125% 09/07/2027 123,447.26 118,829.90 0.05% EUR 300,000 GRUENENTHAL GMBH CALLABLE BOND FIXED 4.125% 15/05/28 360,674.99 351,416.91 0.14% EUR 200,000 HAMBURG COMMERCIAL BANK AG CALLABLE MEDIUM TERM

0.500% 22/09/2026 235,954.77 226,114.06 0.09% EUR 200,000 IHO VERWALTUNGS GMBH CALLABLE BOND FIXED 3.750%

15/09/26 248,401.97 230,592.65 0.09%





197


Cost USD

Market Value

USD


EUR 100,000 INEOS STYROLUTION GROUP GMBH CALLABLE BOND FIXED





01/09/2028 349,813.92 331,134.91 0.13% EUR 300,000 ZF EUROPE FINANCE BV CALLABLE NOTES FIXED 2.000% 23/02/26 358,014.51 342,479.47 0.14%

Total Germany 6,566,947.89 6,429,557.74 2.56% Hong Kong

USD 300,000 HUARONG FINANCE 2017 CO LTD NOTES FIXED 4.750% 27/04/2027 302,625.00 310,154.22 0.12% USD 200,000 HUARONG FINANCE 2019 CO LTD CALLABLE MEDIUM TERM

3.625% 30/09/2030 168,000.00 192,585.62 0.08% USD 200,000 MELCO RESORTS FINANCE LTD CALLABLE NOTES FIXED 5.375%

04/12/29 200,000.00 195,310.00 0.08% Total Hong Kong 670,625.00 698,049.84 0.28% Ireland

USD 400,000 AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL 3.300% 30/01/2032 398,496.00 407,394.32 0.16%

USD 100,000 AVOLON HOLDINGS FUNDING LTD CALLABLE NOTES FIXED 3.950% 01/07/24 104,489.00 104,809.87 0.04%

EUR 1,700,000 BLACK DIAMOND CLO LTD 2017-2A A1 FLOATING 0.860% 20/01/32 2,056,574.84 1,926,311.03 0.77% EUR 200,000 CYRUSONE EUROPE FINANCE DAC CALLABLE NOTES FIXED

1.125% 26/05/28 238,295.71 227,241.95 0.09% EUR 500,000 OAK HILL EUROPEAN CREDIT PARTNERS IV DESIGNATED 0.730%

20/01/32 595,318.55 566,101.58 0.23% USD 200,000 PERRIGO FINANCE UNLIMITED CO CALLABLE NOTES FIXED

3.150% 15/06/30 214,130.00 202,892.88 0.08% EUR 296,935 SEGOVIA EUROPEAN CLO 3-2017 DAC 2017-3X A FLOATING 0.920%

25/07/2030 337,490.71 337,137.70 0.13% Total Ireland 3,944,794.81 3,771,889.33 1.50% Isle of Man

USD 200,000 SASOL FINANCING INTERNATIONAL LTD CALLABLE NOTES 4.500% 14/11/22 206,400.00 202,626.20 0.08%

Total Isle of Man 206,400.00 202,626.20 0.08% Israel

USD 300,000 ENERGEAN ISRAEL FINANCE LTD CALLABLE BOND FIXED 4.875% 30/03/26 300,000.00 298,500.00 0.12%

Total Israel 300,000.00 298,500.00 0.12% Italy

EUR 100,000 AMCO - ASSET MANAGEMENT CO SPA MEDIUM TERM NOTE 2.250% 17/07/27 113,685.00 120,374.65 0.05%

EUR 600,000 ATLANTIA SPA CALLABLE NOTES FIXED 1.875% 12/02/28 719,556.87 697,892.61 0.27% EUR 400,000 ATLANTIA SPA MEDIUM TERM NOTE FIXED 1.625% 03/02/25 486,590.16 461,529.76 0.18% EUR 200,000 INTESA SANPAOLO SPA CALLABLE BOND VARIABLE PERP 296,679.90 275,433.95 0.11%





198


Cost USD

Market Value

USD


EUR 300,000 INTESA SANPAOLO SPA MEDIUM TERM NOTE FIXED 0.750%

16/03/28 356,333.88 339,418.84 0.14% GBP 100,000 INTESA SANPAOLO SPA MEDIUM TERM NOTE FIXED 5.148%

10/06/30 125,965.00 150,995.46 0.06% EUR 400,000 UNICREDIT SPA CALLABLE BOND VARIABLE PERP 527,320.24 470,895.96 0.19% USD 400,000 UNICREDIT SPA MEDIUM TERM NOTE FIXED 7.830% 04/12/23 471,100.00 445,780.30 0.18%


GBP 200,000 EAST JAPAN RAILWAY CO MEDIUM TERM NOTE FIXED 1.162% 15/09/2028 275,709.99 263,627.96 0.10%

EUR 200,000 MIZUHO FINANCIAL GROUP INC CALLABLE NOTES VARIABLE 0.470% 06/09/2029 237,080.00 222,585.09 0.09%

USD 500,000 MIZUHO FINANCIAL GROUP INC NOTES FIXED 2.564% 13/09/2031 500,000.00 488,085.48 0.19% USD 200,000 MIZUHO FINANCIAL GROUP INC NOTES FIXED 3.477% 12/04/26 210,460.00 213,531.65 0.08% EUR 500,000 NIDEC CORP CALLABLE BOND FIXED 0.046% 30/03/26 591,524.99 563,226.50 0.22% EUR 100,000 NISSAN MOTOR CO LTD CALLABLE NOTES FIXED 2.652% 17/03/26 130,859.85 121,648.52 0.05% USD 600,000 NISSAN MOTOR CO LTD CALLABLE NOTES FIXED 4.345% 17/09/27 641,168.00 648,346.07 0.26% USD 600,000 NISSAN MOTOR CO LTD CALLABLE NOTES FIXED 4.810% 17/09/30 676,038.00 672,209.97 0.27% USD 900,000 NOMURA HOLDINGS INC NOTES FIXED 3.103% 16/01/30 952,513.00 929,136.23 0.38% USD 100,000 SUNTORY HOLDINGS LTD CALLABLE NOTES FIXED 2.550%

28/06/22 100,861.00 100,765.35 0.04% Total Japan 4,316,214.83 4,223,162.82 1.68% Jersey

EUR 200,000 ATRIUM FINANCE ISSUER BV CALLABLE MEDIUM TERM NOTE 2.625% 05/09/27 238,526.18 222,949.89 0.09%

USD 28,762 DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A 5.125% 30/11/24 28,690.53 28,491.68 0.01%

EUR 100,000 GLOBALWORTH REAL ESTATE INVESTMENTS LTD CALLABLE 2.950% 29/07/26 113,256.65 119,934.44 0.05%

GBP 200,000 TP ICAP FINANCE PLC CALLABLE MEDIUM TERM NOTE 2.625% 18/11/2028 267,950.18 268,279.73 0.10%

Total Jersey 648,423.54 639,655.74 0.25% Liberia

USD 100,000 ROYAL CARIBBEAN CRUISES LTD CALLABLE NOTES FIXED 10.875% 01/06/23 113,437.50 109,940.00 0.04%

USD 119,000 ROYAL CARIBBEAN CRUISES LTD CALLABLE NOTES FIXED 11.500% 01/06/25 127,478.75 133,430.54 0.06%

Total Liberia 240,916.25 243,370.54 0.10% Luxembourg

EUR 300,000 ACEF HOLDING SCA CALLABLE NOTES FIXED 1.250% 26/04/2030 346,861.70 339,969.43 0.14% EUR 300,000 ADLER GROUP SA CALLABLE NOTES FIXED 2.250% 27/04/27 356,477.76 286,391.02 0.11% EUR 100,000 ALTICE FINANCING SA CALLABLE BOND FIXED 2.250% 15/01/25 111,195.00 110,834.18 0.04% EUR 600,000 AROUNDTOWN SA CALLABLE MEDIUM TERM NOTE FIXED 0.375%

15/04/2027 663,350.39 664,938.47 0.26% EUR 600,000 BEVCO LUX SARL CALLABLE BOND FIXED 1.000% 16/01/30 723,760.20 667,429.17 0.24% EUR 100,000 BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL

1.250% 26/04/27 117,386.96 114,331.43 0.05% EUR 200,000 CBRE GLOBAL INVESTORS OPEN-ENDED FUND SCA 0.500%

27/01/28 240,625.61 221,338.34 0.09% EUR 200,000 CBRE GLOBAL INVESTORS OPEN-ENDED FUND SCA 0.900%

12/10/2029 229,963.38 224,008.79 0.09%





199


Cost USD

Market Value

USD


EUR 150,000 CPI PROPERTY GROUP SA CALLABLE MEDIUM TERM NOTE

1.625% 23/04/27 163,186.28 173,663.55 0.07% EUR 300,000 CPI PROPERTY GROUP SA CALLABLE MEDIUM TERM NOTE

2.750% 12/05/26 397,766.09 365,533.72 0.15% EUR 400,000 CROMWELL EREIT LUX FINCO SARL CALLABLE MEDIUM TERM

2.125% 19/11/25 498,341.63 465,315.85 0.19% USD 500,000 JAB HOLDINGS BV CALLABLE NOTES FIXED 2.200% 23/11/30 498,940.00 490,366.09 0.20% EUR 100,000 JAB HOLDINGS BV NOTES FIXED EUR 1.000% 20/12/27 109,607.97 115,199.35 0.05% EUR 100,000 LINCOLN FINANCING SARL CALLABLE NOTES FIXED 3.625%

01/04/24 113,800.62 114,431.77 0.05% Total Luxembourg 4,571,263.59 4,353,751.16 1.73% Mexico

USD 100,000 PETROLEOS MEXICANOS CALLABLE BOND FIXED 5.950% 28/01/31 100,000.00 97,295.00 0.04% Total Mexico 100,000.00 97,295.00 0.04% Norway

USD 200,000 AKER BP ASA CALLABLE NOTES FIXED 3.750% 15/01/30 208,548.00 212,081.16 0.09% USD 100,000 EQUINOR ASA CALLABLE BOND FIXED 3.125% 06/04/30 99,210.00 107,203.34 0.04%

Total Norway 307,758.00 319,284.50 0.13% Panama

USD 500,000 CARNIVAL CORP CALLABLE NOTES FIXED 4.000% 01/08/2028 500,000.00 498,662.50 0.20% USD 200,000 CARNIVAL CORP CALLABLE NOTES FIXED 7.625% 01/03/26 200,000.00 207,261.00 0.08%

Total Panama 700,000.00 705,923.50 0.28% Qatar

USD 1,000,000 QNB FINANCE LTD MEDIUM TERM NOTE FIXED 1.125% 17/06/24 999,680.00 995,000.00 0.40% USD 300,000 QNB FINANCE LTD MEDIUM TERM NOTE VARIABLE 1.285%

12/02/22 300,000.00 300,150.00 0.12% Total Qatar 1,299,680.00 1,295,150.00 0.52% South Korea

USD 200,000 HYUNDAI CAPITAL SERVICES INC MEDIUM TERM NOTE 0.750% 15/09/2023 199,738.00 197,655.63 0.08%

Total South Korea 199,738.00 197,655.63 0.08% Spain

GBP 100,000 ABERTIS INFRAESTRUCTURAS SA CALLABLE MEDIUM TERM 3.375% 27/11/26 150,073.84 143,084.64 0.06%

EUR 200,000 ACCIONA ENERGIA FINANCIACION FILIALES SA MEDIUM 0.375% 07/10/2027 231,229.07 224,313.88 0.09%

EUR 400,000 BANCO BILBAO VIZCAYA ARGENTARIA SA CALLABLE BOND 5.875% PERP 512,739.92 482,417.32 0.19%

GBP 300,000 BANCO SANTANDER SA MEDIUM TERM NOTE FIXED 1.500% 14/04/26 416,656.44 399,018.57 0.16%

USD 400,000 BANCO SANTANDER SA NOTES FIXED 2.958% 25/03/31 400,000.00 408,178.46 0.16%





200


Cost USD

Market Value

USD


GBP 400,000 CAIXABANK SA CALLABLE MEDIUM TERM NOTE VARIABLE

03/12/26 564,375.05 530,551.39 0.21% EUR 200,000 WERFENLIFE SA CALLABLE NOTES FIXED 0.500% 28/10/2026 231,638.94 225,780.60 0.09%

Total Spain 2,506,713.26 2,413,344.86 0.96% Supranational

USD 100,000 DELTA AIR LINES INC / SKYMILES IP LTD CALLABLE 4.500% 20/10/25 100,000.00 105,214.97 0.04%

Total Supranational 100,000.00 105,214.97 0.04% Sweden

EUR 200,000 BALDER FINLAND OYJ CALLABLE MEDIUM TERM NOTE FIXED 1.000% 20/01/29 242,235.93 219,797.55 0.09%

EUR 200,000 SAGAX AB CALLABLE NOTES FIXED EUR 2.000% 17/01/24 231,434.56 234,273.90 0.09% EUR 100,000 SAGAX EURO MTN NL BV CALLABLE MEDIUM TERM NOTE

0.750% 26/01/28 120,683.18 110,404.58 0.04% EUR 300,000 SAGAX EURO MTN NL BV CALLABLE MEDIUM TERM NOTE

1.000% 17/05/29 360,525.51 330,997.89 0.14% EUR 150,000 SAMHALLSBYGGNADSBOLAGET I NORDEN AB CALLABLE 1.750%

14/01/25 170,166.78 175,605.25 0.07% EUR 200,000 SBB TREASURY OYJ CALLABLE MEDIUM TERM NOTE VARIABLE

01/02/23 242,845.03 226,692.07 0.09% Total Sweden 1,367,890.99 1,297,771.24 0.52% Switzerland

USD 200,000 CREDIT SUISSE GROUP AG CALLABLE BOND VARIABLE PERP 212,000.00 204,875.00 0.08% USD 250,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE 02/02/27 250,000.00 241,623.66 0.10% USD 300,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE 12/06/24 305,443.15 303,086.22 0.12% GBP 300,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE 2.125%

15/11/2029 405,601.47 399,973.16 0.16% USD 200,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE 5.250%

31/12/64 212,250.00 204,600.00 0.08% USD 400,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE PERP 444,500.00 433,012.80 0.17% USD 500,000 CREDIT SUISSE GROUP AG CALLABLE NOTES VARIABLE USD

6.375% 31/12/64 554,125.00 540,150.00 0.21% USD 650,000 CREDIT SUISSE GROUP AG NOTES 4.194% 01/04/31 760,073.50 717,899.36 0.29% USD 300,000 UBS AG/STAMFORD CT NOTES FIXED 7.625% 17/08/22 331,537.50 311,684.70 0.12% USD 200,000 UBS AG BOND FIXED 5.125% 15/05/24 221,640.00 214,377.20 0.09% USD 300,000 UBS GROUP AG CALLABLE MEDIUM TERM NOTE VARIABLE

11/02/32 300,000.00 290,755.70 0.12% Total Switzerland 3,997,170.62 3,862,037.80 1.54% The Netherlands

EUR 200,000 CTP NV CALLABLE MEDIUM TERM NOTE FIXED 0.625% 27/09/2026 234,326.47 224,098.55 0.09% EUR 200,000 CTP NV CALLABLE MEDIUM TERM NOTE FIXED 1.250% 21/06/2029 239,179.63 222,034.14 0.09% EUR 200,000 CTP NV CALLABLE MEDIUM TERM NOTE FIXED 1.500% 27/09/2031 233,076.58 220,150.36 0.09% USD 400,000 ING GROEP NV CALLABLE BOND VARIABLE USD 1000 4.875%

31/12/64 409,400.00 403,972.00 0.17% USD 100,000 ING GROEP NV CALLABLE BOND VARIABLE USD 1000 5.750%

31/12/64 103,625.00 107,708.50 0.04% USD 100,000 PETROBRAS GLOBAL FINANCE BV CALLABLE NOTES FIXED

7.250% 17/03/44 119,150.00 110,651.50 0.04% USD 100,000 PROSUS NV CALLABLE NOTES FIXED 3.680% 21/01/30 100,000.00 103,060.00 0.04%





201


Cost USD

Market Value

USD


EUR 150,000 STICHTING AK RABOBANK CERTIFICATEN BOND STEP CPN

2.188% PERP 232,139.25 234,300.66 0.09% EUR 100,000 ZIGGO BOND CO BV CALLABLE NOTES FIXED 3.375% 28/02/30 110,020.00 110,810.72 0.04% USD 300,000 ZIGGO BOND CO BV CALLABLE NOTES FIXED 5.125% 28/02/30 305,625.00 303,448.50 0.12%

Total The Netherlands 2,086,541.93 2,040,234.93 0.81% United Arab Emirates

USD 400,000 DAE FUNDING LLC CALLABLE NOTES FIXED 2.625% 20/03/25 407,318.00 402,940.40 0.16% USD 200,000 DAE FUNDING LLC CALLABLE NOTES FIXED 3.375% 20/03/28 197,422.00 202,624.00 0.08%

Total United Arab Emirates 604,740.00 605,564.40 0.24% United Kingdom

GBP 100,000 ANNINGTON FUNDING PLC CALLABLE MEDIUM TERM NOTE 2.308% 06/10/2032 134,250.00 133,055.96 0.05%

GBP 200,000 ANNINGTON FUNDING PLC CALLABLE MEDIUM TERM NOTE 2.924% 06/10/2051 268,500.00 274,198.29 0.11%

GBP 200,000 BARCLAYS PLC CALLABLE BOND VARIABLE PERP 303,459.44 281,494.87 0.11% USD 300,000 BARCLAYS PLC CALLABLE NOTES VARIABLE 2.894% 24/11/2032 300,000.00 302,478.19 0.12% USD 300,000 BARCLAYS PLC CALLABLE NOTES VARIABLE 3.330% 24/11/2042 300,000.00 305,004.56 0.12% USD 400,000 BARCLAYS PLC NOTES FIXED 4.375% 12/01/26 456,357.80 437,769.12 0.17% EUR 400,000 BCP V MODULAR SERVICES FINANCE II PLC CALLABLE 4.750%

30/11/2028 462,419.99 458,457.25 0.18% GBP 400,000 BELLIS ACQUISITION CO PLC CALLABLE BOND FIXED 3.250%

16/02/26 553,799.99 521,196.67 0.21% GBP 49,737 FINSBURY SQUARE 2018-2 PLC 2018-2 A FLOATING 1.730% 12/09/68 65,658.16 67,215.87 0.03% USD 200,000 GAZPROM PJSC VIA GAZ FINANCE PLC BOND FIXED 3.000%

29/06/27 205,500.00 196,994.00 0.08% USD 600,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 04/06/31 636,932.00 607,819.98 0.24% USD 300,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 18/08/31 309,030.00 293,541.74 0.12% USD 300,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 2.871%

22/11/2032 300,000.00 302,455.68 0.12% USD 400,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 24/05/32 402,984.00 401,834.02 0.16% USD 200,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE 3.973%

22/05/30 213,292.00 217,230.08 0.09% USD 300,000 HSBC HOLDINGS PLC CALLABLE NOTES VARIABLE PERP 300,000.00 300,750.00 0.12% USD 200,000 HSBC HOLDINGS PLC NOTES FIXED 4.950% 31/03/30 199,750.00 235,008.82 0.09% EUR 400,000 IMPERIAL BRANDS FINANCE NETHERLANDS BV CALLABLE

1.750% 18/03/33 472,484.46 443,574.66 0.18% USD 100,000 IMPERIAL BRANDS FINANCE PLC CALLABLE NOTES FIXED 3.750%

21/07/22 103,338.00 101,122.80 0.04% EUR 100,000 INEOS QUATTRO FINANCE 2 PLC CALLABLE BOND FIXED 2.500%

15/01/26 121,505.00 112,902.08 0.04% EUR 200,000 INFORMA PLC CALLABLE MEDIUM TERM NOTE FIXED 2.125%

06/10/25 255,695.86 237,650.60 0.09% GBP 500,000 INTERCONTINENTAL HOTELS GROUP PLC CALLABLE MEDIUM

3.375% 08/10/28 719,889.10 708,392.30 0.29% GBP 200,000 LENDLEASE EUROPE FINANCE PLC CALLABLE MEDIUM TERM

3.500% 02/12/2033 264,744.46 269,631.34 0.11% GBP 200,000 LLOYDS BANKING GROUP PLC CALLABLE BOND VARIABLE PERP 308,971.77 289,162.50 0.12% EUR 200,000 LLOYDS BANKING GROUP PLC CALLABLE MEDIUM TERM NOTE

0.500% 12/11/25 219,750.33 229,124.26 0.09% USD 100,000 LLOYDS BANKING GROUP PLC CALLABLE NOTES VARIABLE

6.750% 31/12/64 107,500.00 112,773.50 0.04% GBP 200,000 MARKS & SPENCER PLC CALLABLE MEDIUM TERM NOTE 3.750%

19/05/26 282,487.34 276,174.01 0.11% GBP 100,000 NATIONWIDE BUILDING SOCIETY BOND FIXED 1.000% 24/01/23 130,096.29 135,001.02 0.05% GBP 25,000 NATIONWIDE BUILDING SOCIETY BOND VARIABLE 10.250%

31/12/64 52,502.10 64,108.37 0.03% USD 200,000 NATIONWIDE BUILDING SOCIETY CALLABLE MEDIUM TERM

VARIABLE 01/08/24 217,780.00 209,554.57 0.08%





202


Cost USD

Market Value

USD


USD 300,000 NATIONWIDE BUILDING SOCIETY CALLABLE MEDIUM TERM

VARIABLE 08/03/24 319,098.00 309,122.90 0.12% USD 200,000 NATIONWIDE BUILDING SOCIETY MEDIUM TERM NOTE FIXED

0.550% 22/01/24 199,846.00 197,433.13 0.08% USD 600,000 NATWEST GROUP PLC CALLABLE NOTES VARIABLE 22/03/25 655,421.00 635,362.41 0.25% USD 300,000 NATWEST GROUP PLC CALLABLE NOTES VARIABLE 25/06/24 326,542.50 314,014.47 0.12% USD 200,000 ROYAL BANK OF SCOTLAND GROUP PLC CALLABLE BOND

4.892% 18/05/29 223,640.00 229,154.94 0.09% USD 600,000 SANTANDER UK GROUP HOLDINGS PLC CALLABLE NOTES 3.823%

03/11/28 659,500.00 644,612.50 0.26% USD 200,000 STANDARD CHARTERED PLC CALLABLE BOND VARIABLE PERP 209,200.00 203,194.00 0.08% USD 200,000 STANDARD CHARTERED PLC CALLABLE NOTES VARIABLE

VARIABLE 14/01/27 200,000.00 193,828.10 0.08% EUR 200,000 TESCO CORPORATE TREASURY SERVICES PLC CALLABLE 0.375%

27/07/29 240,490.03 217,847.14 0.09% GBP 100,000 VIRGIN MEDIA SECURED FINANCE PLC CALLABLE NOTES 4.250%

15/01/2030 128,147.48 134,029.69 0.05% GBP 200,000 VIRGIN MONEY UK PLC CALLABLE MEDIUM TERM NOTE 4.000%


15/07/31 556,680.00 539,862.14 0.21% GBP 200,000 WORKSPACE GROUP PLC CALLABLE NOTES FIXED 2.250% 11/03/28 279,358.29 267,130.75 0.11%


USD 368,853 AAMES MORTGAGE INVESTMENT TRUST 2006-1 2006-1 M1 FLOATING 0.572% 25/04/36 357,347.24 365,656.92 0.15%

USD 162,168 ABFC 2005-WMC1 TRUST 2005-WMC1 M3 FLOATING 0.883% 25/06/35 159,633.77 161,518.23 0.06%

USD 99,300 ABFC 2006-OPT2 TRUST 2006-OPT2 A2 FLOATING 1.848% 25/10/36 91,541.95 96,954.67 0.04% USD 56,085 ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES

2.043% 25/05/34 54,823.20 57,908.59 0.02% USD 500,000 AEGIS ASSET BACKED SECURITIES TRUST MORTGAGE FLOATING

0.797% 25/10/35 491,875.00 493,505.80 0.20% USD 600,000 AES CORP/THE CALLABLE NOTES FIXED 2.450% 15/01/2031 578,286.00 584,945.73 0.23% USD 276,484 ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST 4.800%

15/02/29 297,419.76 302,804.63 0.12% USD 56,490 ALTERNATIVE LOAN TRUST 2006-2CB 2006-2CB A14 5.500%

25/03/36 35,556.78 34,578.33 0.01% USD 117,016 ALTERNATIVE LOAN TRUST 2006-OA16 2006-OA16 A2 1.982%

25/10/46 109,629.16 114,123.60 0.05% USD 765,598 ALTERNATIVE LOAN TRUST 2007-HY8C 2007-HY8C A1 FLOATING

0.252% 25/09/47 734,093.60 747,622.16 0.30% USD 125,073 AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH 3.700%

01/04/28 122,884.37 127,176.42 0.05% USD 73,948 AMERICAN AIRLINES 2015-2 CLASS AA PASS THROUGH 3.600%




15/08/33 273,547.78 279,333.54 0.11% USD 200,000 AMERICAN ASSETS TRUST LP CALLABLE NOTES FIXED 3.375%

01/02/31 206,451.88 204,527.90 0.08% USD 117,482 AMERICAN HOME MORTGAGE ASSETS TRUST 2006-3 2006-3

1.713% 25/10/46 110,223.50 113,240.99 0.05% EUR 300,000 AMERICAN TOWER CORP CALLABLE NOTES FIXED 0.400%

15/02/2027 346,405.57 335,063.15 0.13% USD 166,976 AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED

0.853% 25/11/35 164,262.15 166,929.12 0.07% USD 100,000 AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED

1.123% 25/07/35 95,375.00 100,236.64 0.04%





203


Cost USD

Market Value

USD


USD 600,000 AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED

FLOATING 0.962% 25/01/36 594,750.00 595,516.14 0.24% USD 554,805 AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED

FLOATING 1.112% 25/09/34 554,631.88 555,132.77 0.22% USD 100,000 ANHEUSER-BUSCH INBEV WORLDWIDE INC CALLABLE NOTES

3.500% 01/06/30 99,790.00 109,704.19 0.04% USD 100,000 ANHEUSER-BUSCH INBEV WORLDWIDE INC CALLABLE NOTES

4.350% 01/06/40 99,937.00 117,383.57 0.05% USD 100,000 ARES FINANCE CO II LLC CALLABLE NOTES FIXED 3.250% 15/06/30 99,771.00 103,356.43 0.04% USD 717,386 ARGENT SECURITIES INC ASSET-BACKED PASS-THROUGH

FLOATING 1.892% 25/11/34 718,283.04 738,333.13 0.29% USD 100,000 ASSET BACKED SECURITIES CORP HOME EQUITY LOAN 1.168%

25/07/35 98,125.00 100,060.85 0.04% USD 82,144 ASSET BACKED SECURITIES CORP HOME EQUITY LOAN 1.263%

25/02/35 82,092.49 82,901.08 0.03% EUR 100,000 AT&T INC CALLABLE BOND VARIABLE PERP 124,048.56 113,781.82 0.05% USD 100,000 AVIATION CAPITAL GROUP LLC CALLABLE NOTES FIXED 4.125%

01/08/25 108,384.00 105,585.76 0.04% USD 500,000 AVIATION CAPITAL GROUP LLC CALLABLE NOTES FIXED 5.500%

15/12/24 568,433.00 547,492.03 0.22% USD 200,000 BANK OF AMERICA CORP CALLABLE MEDIUM TERM NOTE


3.974% 07/02/30 109,161.00 110,364.78 0.04% USD 500,000 BANK OF AMERICA CORP CALLABLE NOTES VARIABLE 22/04/34 506,155.00 508,324.74 0.20% USD 200,000 BANK OF AMERICA CORP CALLABLE NOTES VARIABLE 29/04/31 212,460.00 202,331.30 0.08% USD 300,000 BANK OF AMERICA CORP CALLABLE NOTES VARIABLE

VARIABLE 11/03/32 300,000.00 304,251.53 0.12% USD 105,268 BEAR STEARNS ASSET BACKED SECURITIES I TRUST 0.708%

25/04/36 103,162.84 104,923.13 0.04% USD 86,542 BEAR STEARNS ASSET BACKED SECURITIES I TRUST 1.170%

25/10/35 84,486.91 85,916.66 0.03% USD 500,000 BEAR STEARNS ASSET BACKED SECURITIES I TRUST FLOATING

0.322% 25/02/37 468,437.50 482,929.65 0.19% USD 564,474 BEAR STEARNS ASSET BACKED SECURITIES I TRUST FLOATING

0.722% 25/02/36 560,240.78 563,574.05 0.22% USD 190,979 BEAR STEARNS ASSET BACKED SECURITIES I TRUST FLOATING

0.767% 25/11/35 191,039.05 191,165.94 0.08% USD 268,777 BEAR STEARNS ASSET BACKED SECURITIES TRUST 1.005%

25/07/34 261,422.48 266,986.26 0.11% USD 259,330 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-3 0.618%

25/08/36 255,714.05 259,231.75 0.10% EUR 200,000 BECTON DICKINSON AND CO CALLABLE BOND FIXED 0.000%

13/08/2023 235,076.76 226,927.38 0.09% EUR 100,000 BECTON DICKINSON AND CO CALLABLE BOND FIXED 0.034%

13/08/2025 117,195.00 112,650.28 0.04% EUR 400,000 BECTON DICKINSON EURO FINANCE SARL CALLABLE NOTES

0.334% 13/08/2028 468,780.00 446,018.96 0.18% EUR 200,000 BECTON DICKINSON EURO FINANCE SARL CALLABLE NOTES

1.213% 12/02/36 241,950.00 222,190.12 0.09% USD 600,000 BLACK HILLS CORP CALLABLE NOTES FIXED 2.500% 15/06/30 597,816.00 597,015.44 0.24% USD 300,000 BLUE OWL FINANCE LLC CALLABLE NOTES FIXED 3.125% 10/06/31 296,190.00 294,008.69 0.12% USD 900,000 BOSTON SCIENTIFIC CORP CALLABLE NOTES FIXED 2.650%

01/06/30 909,753.00 918,925.34 0.37% USD 700,000 BROADCOM INC CALLABLE NOTES FIXED 2.600% 15/02/33 697,116.00 682,472.29 0.27% USD 400,000 BROADCOM INC CALLABLE NOTES FIXED 4.300% 15/11/32 437,908.00 450,321.47 0.18% USD 150,000 CARLYLE FINANCE SUBSIDIARY LLC CALLABLE NOTES 3.500%

19/09/29 149,500.50 160,313.32 0.06% USD 300,000 CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.500%

15/08/30 315,937.50 307,801.50 0.12% USD 100,000 CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 5.000%

01/02/28 105,437.50 104,200.00 0.04% USD 900,000 CHARTER COMMUNICATIONS OPERATING LLC / CHARTER 3.900%

01/06/52 873,321.00 903,145.30 0.36% USD 100,000 CHARTER COMMUNICATIONS OPERATING LLC / CHARTER 4.908%

23/07/25 114,925.43 110,092.91 0.04%





204


Cost USD

Market Value

USD


USD 100,000 CIT GROUP INC CALLABLE NOTES FIXED 5.000% 01/08/23 107,250.00 105,373.50 0.04% USD 127,082 CITIGROUP MORTGAGE LOAN TRUST 2006-WMC1 2006-WMC1

0.768% 25/12/35 114,214.92 125,292.63 0.05% USD 733,461 CITIGROUP MORTGAGE LOAN TRUST 2007-AHL3 2007-AHL3

FLOATING 0.262% 25/07/45 636,277.71 634,646.84 0.25% USD 100,000 CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE1 M4 1.203%

25/05/35 98,750.00 99,395.29 0.04% USD 100,000 CIT MORTGAGE LOAN TRUST 2007-1 2007-1 1M1 FLOATING 3.292%

25/10/37 101,062.50 101,797.57 0.04% USD 800,000 COLT MERGER SUB INC CALLABLE NOTES FIXED 6.250% 01/07/25 841,625.00 840,020.00 0.33% USD 600,000 COTY INC/HFC PRESTIGE PRODUCTS INC/HFC PRESTIGE 4.750%

15/01/2029 600,000.00 613,050.00 0.24% USD 300,000 COTY INC CALLABLE NOTES FIXED 5.000% 15/04/2026 308,407.50 309,420.00 0.12% USD 128,492 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-22 1A 0.288%

25/06/35 118,052.24 124,459.27 0.05% USD 312,388 COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC3 2A3

0.328% 25/11/47 301,514.90 336,467.02 0.13% USD 165,398 CREDIT-BASED ASSET SERVICING AND SECURITIZATION 1.063%

25/01/34 161,107.98 164,173.88 0.07% USD 100,000 CROWN CASTLE INTERNATIONAL CORP CALLABLE NOTES

3.150% 15/07/23 103,184.00 103,002.85 0.04% USD 100,000 CWABS ASSET-BACKED CERTIFICATES TRUST 2005-16 0.628%

25/05/36 97,500.00 99,832.82 0.04% USD 600,000 CWABS ASSET-BACKED CERTIFICATES TRUST 2005-3 FLOATING

2.042% 25/08/35 599,250.00 606,982.20 0.24% USD 500,000 CWABS ASSET-BACKED CERTIFICATES TRUST 2005-7 FLOATING

1.217% 25/11/35 499,687.50 498,699.20 0.20% USD 400,000 DELTA AIR LINES INC CALLABLE NOTES FIXED 7.000% 01/05/25 452,500.00 458,012.71 0.18% USD 723,231 DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST 0.472%

25/12/36 366,390.10 338,960.99 0.13% USD 250,000 DISCOVER BANK CALLABLE NOTES FIXED 4.650% 13/09/28 281,797.03 284,294.49 0.11% USD 500,000 DISH DBS CORP CALLABLE BOND FIXED 5.250% 01/12/2026 500,000.00 509,695.00 0.20% USD 350,000 E*TRADE FINANCIAL CORP CALLABLE NOTES FIXED 4.500%

20/06/28 400,639.32 394,940.56 0.16% USD 150,000 EDISON INTERNATIONAL CALLABLE NOTES FIXED 5.750%

15/06/27 165,408.00 171,486.21 0.07% USD 600,000 ENTERGY TEXAS INC CALLABLE BOND FIXED 1.750% 15/03/31 560,568.00 561,349.96 0.22% USD 100,000 ENTERPRISE PRODUCTS OPERATING LLC CALLABLE NOTES

4.050% 15/02/22 104,147.56 100,426.67 0.04% USD 50,000 EPR PROPERTIES CALLABLE NOTES FIXED 4.500% 01/06/27 53,959.50 52,840.26 0.02% USD 100,000 EQT CORP CALLABLE NOTES FIXED 6.125% 01/02/25 100,000.00 113,126.50 0.04% EUR 500,000 EQUINIX INC CALLABLE NOTES FIXED 1.000% 15/03/33 598,663.60 545,499.98 0.22% USD 500,000 EXPEDIA GROUP INC CALLABLE NOTES FIXED 2.950% 15/03/31 497,771.00 499,578.83 0.20% USD 176,000 EXPEDIA GROUP INC CALLABLE NOTES FIXED 6.250% 01/05/25 196,722.24 198,626.66 0.08% USD 100,000 FAIR ISAAC CORP CALLABLE NOTES FIXED 4.000% 15/06/28 100,000.00 103,073.00 0.04% USD 366,809 FIRST FRANKLIN MORTGAGE LOAN TRUST 2004-FF11 0.902%

25/01/2035 363,141.09 368,672.64 0.15% EUR 100,000 FORD MOTOR CREDIT CO LLC CALLABLE MEDIUM TERM NOTE

1.744% 19/07/24 108,485.00 115,314.45 0.05% EUR 300,000 FORD MOTOR CREDIT CO LLC CALLABLE MEDIUM TERM NOTE

3.250% 15/09/25 386,312.70 365,302.37 0.15% USD 500,000 FORD MOTOR CREDIT CO LLC CALLABLE NOTES FIXED 2.700%

10/08/2026 500,000.00 505,000.00 0.20% USD 300,000 FORD MOTOR CREDIT CO LLC CALLABLE NOTES FIXED 5.584%

18/03/24 325,125.00 323,626.50 0.13% EUR 100,000 FORD MOTOR CREDIT CO LLC MEDIUM TERM NOTE VARIABLE

01/12/24 113,700.67 111,857.25 0.04% EUR 100,000 FORD MOTOR CREDIT CO LLC NOTES FIXED 2.330% 25/11/25 124,992.81 118,154.00 0.05% EUR 100,000 FORD MOTOR CREDIT CO LLC NOTES FIXED 2.386% 17/02/26 124,992.81 118,798.28 0.05% USD 100,000 FORD MOTOR CREDIT CO LLC NOTES FIXED 5.596% 07/01/22 99,750.00 100,199.00 0.04% USD 1,013,000 FREMONT HOME LOAN TRUST 2005-2 2005-2 M4 FLOATING 1.098%

25/06/35 990,848.75 1,005,334.33 0.41% USD 150,000 GOLDMAN SACHS GROUP INC/THE CALLABLE BOND VARIABLE

4.223% 01/05/29 164,662.50 167,108.75 0.07% EUR 100,000 GOLDMAN SACHS GROUP INC/THE CALLABLE MEDIUM TERM

0.307% 21/04/23 111,415.00 113,437.49 0.05%





205


Cost USD

Market Value

USD


EUR 300,000 GOLDMAN SACHS GROUP INC/THE CALLABLE MEDIUM TERM

VARIABLE 30/04/24 362,438.75 340,408.75 0.14% USD 200,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES FIXED

0.523% 08/03/23 200,000.00 199,380.45 0.08% USD 300,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES VARIABLE

05/06/28 338,949.00 323,356.29 0.13% USD 200,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES VARIABLE

08/03/24 200,000.00 199,158.51 0.08% USD 500,000 GOLDMAN SACHS GROUP INC/THE CALLABLE NOTES VARIABLE

09/03/27 500,000.00 490,061.99 0.19% USD 109,446 GSAMP TRUST 2004-OPT 2004-OPT M1 FLOATING 1.018% 25/11/34 105,751.92 109,427.73 0.04% USD 436,138 GSAMP TRUST 2005-HE6 2005-HE6 M2 FLOATING 0.767% 25/11/35 432,594.10 435,445.06 0.17% USD 231,838 GSAMP TRUST 2006-FM3 2006-FM3 A2C FLOATING 0.368% 25/11/36 125,771.98 142,235.55 0.06% USD 200,000 HILTON DOMESTIC OPERATING CO INC CALLABLE NOTES 3.625%

15/02/32 200,000.00 199,187.50 0.08% USD 200,000 HILTON DOMESTIC OPERATING CO INC CALLABLE NOTES 4.000%

01/05/31 200,000.00 203,656.00 0.08% USD 100,000 HILTON DOMESTIC OPERATING CO INC CALLABLE NOTES 5.750%

01/05/28 100,000.00 106,138.00 0.04% USD 700,000 HOME EQUITY ASSET TRUST 2005-5 2005-5 M4 FLOATING 1.037%

25/11/35 695,187.50 698,735.80 0.28% USD 177,141 HSI ASSET SECURITIZATION CORP TRUST 2007-HE2 0.498%

25/04/37 118,795.18 117,146.78 0.05% USD 150,000 HUDSON PACIFIC PROPERTIES LP CALLABLE NOTES FIXED

3.250% 15/01/30 149,577.00 155,885.40 0.06% USD 100,000 HYATT HOTELS CORP CALLABLE NOTES FIXED 1.300% 01/10/2023 99,941.00 100,018.16 0.04% USD 100,000 HYATT HOTELS CORP CALLABLE NOTES FIXED 1.800% 01/10/2024 99,994.00 100,031.69 0.04% USD 100,000 HYATT HOTELS CORP CALLABLE NOTES VARIABLE 1.099%

01/10/2023 100,000.00 100,300.06 0.04% USD 318,905 INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR15 0.358%

25/07/36 313,552.31 313,050.16 0.12% USD 376,825 INDYMAC INDX MORTGAGE LOAN TRUST 2007-FLX1 0.342%

25/02/37 292,981.29 299,697.54 0.12% USD 150,000 JPMORGAN CHASE & CO CALLABLE NOTES VARIABLE 3.702%

06/05/30 161,068.50 164,143.86 0.07% USD 300,000 KENNEDY-WILSON INC CALLABLE NOTES FIXED 4.750%

01/02/2030 300,000.00 304,204.50 0.12% USD 58,548 LEHMAN XS TRUST 2007-3 2007-3 1BA2 FLOATING 0.743% 25/03/37 57,235.97 61,446.03 0.02% USD 90,499 LEHMAN XS TRUST SERIES 2006-18N 2006-18N A3 0.330% 25/12/36 88,462.35 95,548.09 0.04% USD 100,000 LIVE NATION ENTERTAINMENT INC CALLABLE NOTES FIXED

6.500% 15/05/27 100,000.00 109,631.50 0.04% USD 243,172 LONG BEACH MORTGAGE LOAN TRUST 2004-5 2004-5 M1

FLOATING 0.742% 25/09/34 235,572.43 241,403.56 0.10% USD 452,688 LONG BEACH MORTGAGE LOAN TRUST 2006-8 2006-8 1A

FLOATING 0.242% 25/09/36 338,384.35 334,732.91 0.13% USD 150,000 MARRIOTT OWNERSHIP RESORTS INC CALLABLE NOTES 6.125%

15/09/25 160,312.50 157,200.00 0.06% USD 200,000 MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP /

4.625% 15/06/2025 214,500.00 213,637.00 0.08% USD 200,000 MIDWEST CONNECTOR CAPITAL CO LLC CALLABLE NOTES

3.900% 01/04/24 204,500.00 207,436.91 0.08% USD 200,000 MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS 6.500% 20/06/27 206,750.00 214,051.00 0.09% USD 140,791 MORGAN STANLEY ABS CAPITAL I INC TRUST 2003-NC8 1.198%

25/09/33 137,095.55 140,797.11 0.06% USD 702,905 MORGAN STANLEY ABS CAPITAL I INC TRUST 2005-HE2

FLOATING 0.812% 25/01/35 671,493.55 684,377.37 0.27% USD 583,473 MORGAN STANLEY ABS CAPITAL I INC TRUST 2006-HE8 0.232%

25/10/2036 344,248.93 344,863.90 0.14% USD 181,334 MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-NC2 0.368%

25/02/37 99,053.65 108,240.71 0.04% USD 331,940 MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-NC2

FLOATING 0.242% 25/02/37 197,608.26 196,809.86 0.08% USD 145,433 MORGAN STANLEY CAPITAL I INC TRUST 2006-HE2 0.508%

25/03/36 123,981.66 131,633.54 0.05% USD 403,987 MORGAN STANLEY MORTGAGE LOAN TRUST 2006-11 2006-11

6.354% 25/08/36 139,123.06 117,811.52 0.05%





206


Cost USD

Market Value

USD


GBP 150,000 MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 3.692%

05/06/28 193,848.62 211,893.29 0.08% USD 400,000 NATIONAL FUEL GAS CO CALLABLE NOTES FIXED 2.950% 01/03/31 389,544.00 401,073.70 0.16% USD 260,000 NCL CORP LTD CALLABLE NOTES FIXED 10.250% 01/02/26 289,250.00 302,513.90 0.12% USD 635,632 NEW CENTURY HOME EQUITY LOAN TRUST 2004-3 2004-3 1.098%

25/11/34 623,250.51 632,694.14 0.25% USD 700,000 NEW CENTURY HOME EQUITY LOAN TRUST 2005-4 2005-4

FLOATING 1.037% 25/09/35 700,000.00 700,232.26 0.28% USD 200,000 NEXTERA ENERGY CAPITAL HOLDINGS INC NOTES VARIABLE

01/03/23 200,000.00 200,338.09 0.08% USD 100,000 NISSAN MOTOR ACCEPTANCE CO LLC CALLABLE MEDIUM

1.850% 16/09/2026 99,976.00 97,684.01 0.04% USD 167,451 NOVASTAR MORTGAGE FUNDING TRUST SERIES 2007-2 0.328%

25/09/37 162,361.66 165,673.04 0.07% USD 150,000 OMEGA HEALTHCARE INVESTORS INC CALLABLE NOTES 4.750%

15/01/28 163,872.00 165,798.66 0.07% USD 100,000 ONEOK INC CALLABLE NOTES FIXED 6.350% 15/01/31 99,667.00 126,185.18 0.05% USD 762,596 OPTION ONE MORTGAGE LOAN TRUST 2005-1 2005-1 M1

FLOATING 0.872% 25/02/35 760,689.11 759,709.26 0.30% USD 731,000 OPTION ONE MORTGAGE LOAN TRUST 2005-5 ASSET-BACKED

0.722% 25/12/2035 728,258.75 727,332.72 0.29% USD 857,171 OPTION ONE MORTGAGE LOAN TRUST 2007-4 2007-4 1A1 0.322%

25/04/2037 731,274.37 732,063.40 0.29% USD 264,184 OPTION ONE MORTGAGE LOAN TRUST 2007-5 2007-5 1A1

FLOATING 0.312% 25/05/37 196,982.27 202,530.48 0.08% USD 622,661 OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 2007-CP1

FLOATING 0.232% 25/03/37 576,739.55 599,056.20 0.24% USD 500,000 ORACLE CORP CALLABLE NOTES FIXED 2.875% 2.875% 25/03/31 505,925.00 502,782.25 0.20% USD 400,000 ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV

4.125% 30/04/28 400,000.00 410,572.00 0.16% USD 379,852 OWNIT MORTGAGE LOAN TRUST SERIES 2006-6 2006-6 A1 0.372%

25/09/2037 355,636.09 356,889.00 0.14% USD 100,000 PACIFIC GAS & ELECTRIC CO CALLABLE NOTES 3.750% 15/08/42 103,500.00 94,206.74 0.04% USD 400,000 PACIFIC GAS AND ELECTRIC CO CALLABLE BOND FIXED 3.250%

01/06/31 399,152.00 403,220.58 0.16% USD 100,000 PACIFIC GAS AND ELECTRIC CO CALLABLE BOND FIXED 3.300%

01/08/40 99,501.00 93,200.59 0.04% USD 700,000 PACIFIC GAS AND ELECTRIC CO CALLABLE BOND FIXED 4.550%

01/07/30 782,647.00 758,779.83 0.30% USD 400,000 PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC 4.875%

15/05/29 400,000.00 411,608.00 0.16% USD 300,000 PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC 7.500%

01/06/25 317,625.00 317,320.50 0.13% USD 200,000 PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 4.450%

29/01/26 229,381.83 219,773.22 0.09% USD 100,000 PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 4.875%

11/07/22 106,462.21 102,195.98 0.04% USD 120,950 RALI SERIES 2007-QA1 TRUST 2007-QA1 A3 FLOATING 0.318%

25/01/37 111,649.19 114,871.00 0.05% USD 121,003 RALI SERIES 2007-QA5 TRUST 2007-QA5 2A1 VARIABLE 6.110%

25/09/37 87,424.91 101,704.93 0.04% USD 141,141 RAMP SERIES 2007-RS2 TRUST 2007-RS2 A3 FLOATING 0.518%

25/05/37 126,536.37 137,425.13 0.05% USD 100,000 RAYMOND JAMES FINANCIAL INC CALLABLE NOTES FIXED

4.650% 01/04/30 99,668.00 116,126.05 0.05% USD 1,284,929 RENAISSANCE HOME EQUITY LOAN TRUST 2006-3 AF3 STEP

5.586% 25/11/36 661,738.21 641,218.54 0.26% USD 210,781 RIO OIL FINANCE TRUST SERIES 2014-1 CALLABLE NOTES 9.250%

06/07/24 239,236.97 225,398.11 0.09% USD 350,000 SABINE PASS LIQUEFACTION LLC CALLABLE NOTES FIXED

5.000% 15/03/27 397,569.08 393,457.79 0.16% USD 132,639 SAXON ASSET SECURITIES TRUST 2004-1 2004-1 A 0.688% 25/03/35 121,447.83 128,410.10 0.05% USD 476,088 SAXON ASSET SECURITIES TRUST 2004-3 2004-3 M2 0.752%

26/12/2034 469,839.49 477,495.27 0.19% USD 124,983 SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 0.290%

25/07/36 108,109.94 115,393.02 0.05%





207


Cost USD

Market Value

USD


USD 700,000 SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 0.552%

25/10/2035 699,125.00 698,700.17 0.28% USD 95,105 SLM STUDENT LOAN TRUST 2008-9 2008-9 A FLOATING 1.718%

25/04/23 95,900.24 95,840.74 0.04% USD 54,670 SOUNDVIEW HOME LOAN TRUST 2005-4 2005-4 M2 0.853% 25/03/36 54,311.14 54,817.85 0.02% USD 700,000 SOUNDVIEW HOME LOAN TRUST 2005-4 2005-4 M3 FLOATING

0.842% 25/03/36 700,000.00 699,305.32 0.28% USD 100,000 SOUNDVIEW HOME LOAN TRUST 2006-EQ1 2006-EQ1 A4 0.418%

25/10/36 94,250.00 99,410.60 0.04% USD 108,075 SOUNDVIEW HOME LOAN TRUST 2007-1 2007-1 1A1 0.300% 25/03/37 100,509.89 105,471.22 0.04% USD 463,181 SOUNDVIEW HOME LOAN TRUST 2007-OPT2 2007-OPT2 1A1

FLOATING 0.262% 25/07/37 428,732.02 438,966.02 0.17% USD 200,000 SOUTHERN CALIFORNIA EDISON CO CALLABLE BOND FIXED

3.700% 01/08/25 213,530.42 213,873.10 0.09% USD 100,000 SOUTHERN CO/THE CALLABLE NOTES FIXED 3.700% 30/04/30 99,751.00 108,815.06 0.04% USD 200,000 SOUTHWEST AIRLINES CO CALLABLE NOTES FIXED 5.250%

04/05/25 215,034.44 221,809.02 0.09% USD 655,882 SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST

FLOATING 0.242% 25/11/37 454,198.25 473,468.58 0.19% USD 200,000 SPIRIT AEROSYSTEMS INC CALLABLE NOTES FIXED 4.600%

15/06/28 218,084.02 199,803.00 0.08% EUR 150,000 STANDARD INDUSTRIES INC/NJ CALLABLE NOTES FIXED 2.250%

21/11/26 166,501.44 167,010.79 0.07% USD 120,489 STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 0.330%

25/07/46 100,556.49 107,509.35 0.04% USD 146,927 STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN 0.305%

25/09/36 115,705.30 115,692.27 0.05% USD 300,000 SYNCHRONY FINANCIAL CALLABLE NOTES FIXED 3.950% 01/12/27 334,125.00 322,466.81 0.13% USD 150,000 SYNCHRONY FINANCIAL CALLABLE NOTES FIXED 4.500% 23/07/25 160,986.00 162,226.66 0.06% USD 100,000 SYSTEMS ENERGY RESOURCES INC CALLABLE BOND FIXED

2.140% 09/12/25 99,967.00 101,025.32 0.04% USD 400,000 TBA UMBS SINGLE FAMILY 30YR 0.000% 25/01/2051 400,000.00 398,281.25 0.16% USD 400,000 TD SYNNEX CORP CALLABLE NOTES FIXED 2.375% 09/08/2028 400,000.00 388,496.33 0.15% USD 100,000 TEGNA INC CALLABLE NOTES FIXED 4.625% 15/03/28 100,000.00 101,286.50 0.04% USD 100,000 T-MOBILE USA INC CALLABLE NOTES FIXED 2.050% 15/02/28 99,787.00 99,458.01 0.04% USD 200,000 T-MOBILE USA INC CALLABLE NOTES FIXED 2.250% 15/11/31 197,365.71 194,376.28 0.08% USD 100,000 T-MOBILE USA INC CALLABLE NOTES FIXED 3.600% 15/11/60 99,745.00 99,939.32 0.04% USD 200,000 UBER TECHNOLOGIES INC CALLABLE NOTES FIXED 4.500%

15/08/2029 198,750.00 203,875.00 0.08% USD 451,650 UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST 5.875%

15/04/29 492,298.50 495,694.73 0.20% USD 300,000 UNITED AIRLINES INC CALLABLE NOTES FIXED 4.625% 15/04/29 300,000.00 311,124.00 0.12% USD 150,000 UNIVISION COMMUNICATIONS INC CALLABLE NOTES FIXED

5.125% 15/02/25 144,562.50 151,552.50 0.06% USD 300,000 UNIVISION COMMUNICATIONS INC CALLABLE NOTES FIXED

9.500% 01/05/25 330,187.50 321,679.50 0.13% USD 300,000 US FOODS INC CALLABLE NOTES FIXED 4.625% 01/06/2030 300,000.00 303,495.00 0.12% USD 500,000 VERIZON COMMUNICATIONS INC CALLABLE NOTES FIXED

2.550% 21/03/31 498,260.00 505,881.64 0.20% EUR 300,000 WABTEC TRANSPORTATION NETHERLANDS BV CALLABLE

1.250% 03/12/27 363,361.89 343,394.94 0.14% USD 24,273 WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2.811%

25/05/46 21,724.56 24,154.93 0.01% USD 563,669 WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES

VARIABLE 25/09/36 562,964.35 564,801.13 0.22% USD 100,000 WELLS FARGO & CO CALLABLE MEDIUM TERM NOTE 3.196%

17/06/27 103,008.00 105,501.04 0.04% USD 700,000 WELLS FARGO & CO CALLABLE MEDIUM TERM NOTE VARIABLE

04/31/31 845,579.00 814,274.64 0.32% USD 649,602 WELLS FARGO HOME EQUITY ASSET-BACKED SECURITIES 0.332%

25/04/2037 642,903.33 640,851.63 0.25% USD 1,100,000 WELLS FARGO HOME EQUITY ASSET-BACKED SECURITIES 0.450%

25/04/37 909,375.00 966,976.34 0.38%





208


Cost USD

Market Value

USD


EUR 400,000 WMG ACQUISITION CORP CALLABLE NOTES FIXED 2.250%

15/08/2031 473,539.99 449,056.59 0.18% EUR 200,000 WPC EUROBOND BV CALLABLE NOTES FIXED 1.350% 15/04/28 220,387.63 230,237.25 0.09%

Total United States of America 61,482,702.48 61,800,225.23 24.57% Total Bonds 124,121,597.35 122,876,217.58 48.87% Government bonds Brazil

BRL 2,880,000 FEDERATIVE REPUBLIC OF BRAZIL BILL ZERO CPN 0.000% 01/04/2022 4,929,611.03 5,035,798.61 2.00%

Total Brazil 4,929,611.03 5,035,798.61 2.00% Dominican Republic

USD 150,000 DOMINICAN REPUBLIC CALLABLE BOND FIXED 5.300% 21/01/41 150,000.00 148,425.00 0.06% Total Dominican Republic 150,000.00 148,425.00 0.06% Israel

ILS 10,400,000 STATE OF ISRAEL BOND FIXED 5.500% 31/01/22 3,333,083.80 3,533,484.69 1.40% USD 600,000 STATE OF ISRAEL BOND FIXED USD 3.800% 13/05/60 691,800.00 695,925.00 0.28%

Total Israel 4,024,883.80 4,229,409.69 1.68% Japan

JPY 310,000,000 JAPAN BILL ZERO CPN 0.000% 06/01/2022 2,801,307.35 2,692,067.94 1.07% JPY 2,000,000,000 JAPAN BILL ZERO CPN 0.000% 11/01/2022 18,030,387.96 17,368,428.64 6.91%

Total Japan 20,831,695.31 20,060,496.58 7.98% Kuwait

USD 500,000 KUWAIT INTERNATIONAL GOVERNMENT BOND BOND FIXED 2.750% 20/03/22 511,725.00 502,995.50 0.20%

Total Kuwait 511,725.00 502,995.50 0.20% Peru

PEN 200,000 REPUBLIC OF PERU BOND FIXED 5.940% 12/02/29 64,550.91 51,452.28 0.02% PEN 6,100,000 REPUBLIC OF PERU BOND FIXED 6.950% 12/08/31 2,125,619.70 1,649,254.56 0.65% PEN 1,200,000 REPUBLIC OF PERU BOND FIXED PEN 6.350% 12/08/28 412,640.90 317,065.44 0.13%

Total Peru 2,602,811.51 2,017,772.28 0.80% Qatar

USD 400,000 STATE OF QATAR CALLABLE BOND FIXED 3.875% 23/04/23 428,880.00 416,156.40 0.17% USD 600,000 STATE OF QATAR CALLABLE BOND FIXED 4.500% 23/04/28 717,510.00 689,622.00 0.27%

Total Qatar 1,146,390.00 1,105,778.40 0.44%





209


Cost USD

Market Value

USD


Romania

EUR 400,000 ROMANIA MEDIUM TERM NOTE FIXED 1.750% 13/07/2030 471,744.00 423,865.97 0.17% Total Romania 471,744.00 423,865.97 0.17% South Africa

ZAR 58,600,000 REPUBLIC OF SOUTH AFRICA BOND FIXED 10.500% 21/12/26 4,433,527.31 4,062,847.81 1.62% USD 400,000 REPUBLIC OF SOUTH AFRICA BOND FIXED 4.850% 30/09/29 412,680.00 413,650.00 0.16%

Total South Africa 4,846,207.31 4,476,497.81 1.78% Turkey

USD 250,000 REPUBLIC OF TURKEY BOND FIXED 6.350% 10/08/24 261,750.00 246,344.25 0.10% Total Turkey 261,750.00 246,344.25 0.10% United States of America

USD 200,000 GOLDEN ST TOB SECURITIZATION CORP CALIF TOB 200,000.00 201,606.00 0.08% USD 400,000 GOLDEN ST TOB SECURITIZATION CORP CALIF TOB 400,000.00 402,776.00 0.16% USD 10,000,000 TBA GNMA2 SINGLE FAMILY 0.000% 15/02/2051 10,577,343.75 10,536,718.80 4.19% USD 10,000,000 TBA GNMA2 SINGLE FAMILY 30YR 4.000% 15/01/50 10,561,718.75 10,536,718.80 4.19% USD 100,000 TOBACCO SETTLEMENT FIN AUTH WEST VA ASSET BACKED

3.401% 01/06/34 100,000.00 103,757.00 0.04% USD 11,500,000 UNITED STATES OF AMERICA BILL 0.000% 31/03/2022 11,497,093.06 11,498,993.75 4.58% USD 2,600,000 UNITED STATES OF AMERICA BILL ZERO CPN 0.000% 01/02/2022 2,599,610.43 2,599,965.34 1.03% USD 2,100,000 UNITED STATES OF AMERICA BILL ZERO CPN 0.000% 24/03/22 2,099,528.32 2,099,788.17 0.84% USD 200,000 UNITED STATES OF AMERICA BILL ZERO CPN 0.000% 04/01/2022 199,974.22 200,001.52 0.08% USD 2,900,000 UNITED STATES OF AMERICA BILL ZERO CPN 0.000% 17/03/2022 2,899,413.96 2,899,768.90 1.15% USD 5,600,000 UNITED STATES OF AMERICA BOND FIXED 1.875% 15/02/41 5,319,733.12 5,524,968.74 2.20% USD 3,700,000 UNITED STATES OF AMERICA NOTES FIXED 0.125% 30/11/22 3,700,253.90 3,692,508.43 1.47% USD 800,000 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/01/23 800,156.25 797,375.00 0.32% USD 300,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/04/25 300,468.75 293,425.78 0.12% USD 1,700,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/11/25 1,700,226.56 1,649,066.40 0.66% USD 1,300,000 UNITED STATES OF AMERICA NOTES FIXED 0.375% 31/01/26 1,295,027.35 1,258,054.69 0.50% USD 1,100,000 UNITED STATES OF AMERICA NOTES FIXED 1.500% 31/10/24 1,093,642.73 1,117,359.38 0.44% USD 4,500,000 UNITED STATES OF AMERICA NOTES FIXED 2.000% 30/06/24 4,578,222.66 4,627,265.63 1.84%


USD 2,454,414 PIMCO SELECT FUNDS PLC - US DOLLAR SHORT-TERM 24,465,860.99 24,443,511.95 9.72% Total Ireland 24,465,860.99 24,443,511.95 9.72% Total Investment funds 24,465,860.99 24,443,511.95 9.72% Total investments 248,286,690.11 245,607,231.95 97.69%



210


United States of America 50.10% Ireland 10.09% Japan 9.66% United Kingdom 5.02% Brazil 2.63% Germany 2.56% Israel 1.80% South Africa 1.78% Luxembourg 1.73% Switzerland 1.54% France 1.53% Italy 1.18% Qatar 0.96% Spain 0.96% The Netherlands 0.81% Peru 0.80% Cayman Islands 0.60% Sweden 0.52% Australia 0.40% Bermuda 0.40% Canada 0.38% Hong Kong 0.28% Panama 0.28% Jersey 0.25% United Arab Emirates 0.24% Kuwait 0.20% Austria 0.19% Romania 0.17% Norway 0.13% Liberia 0.10% Turkey 0.10% Isle of Man 0.08% South Korea 0.08% Dominican Republic 0.06% Mexico 0.04% Supranational 0.04%

Total 97.69%



211


% of Net Assets

Sovereign 52.30% Banks 11.21% Investment funds 9.72% Real estate 2.16% Diversified financial services 2.05% REITs 1.83% Auto manufacturers 1.62% Electricity 1.55% Media 1.33% Oil and gas 1.25% Lodging 1.17% Pharmaceuticals 0.82% Telecommunications 0.79% Semiconductors 0.77% Healthcare products 0.73% Commercial services 0.69% Investment companies 0.63% Leisure time 0.58% Internet 0.56% Airlines 0.55% Entertainment 0.55% Food 0.51% Electronics 0.37% Pipelines 0.37% Cosmetics and personal care 0.36% Savings and loans 0.36% Insurance 0.30% Municipal 0.28% Gas 0.27% Software 0.24% Auto parts and equipment 0.23% Agriculture 0.22% Engineering and construction 0.20% Chemicals 0.16% Miscellaneous manufacture 0.14% Beverages 0.13% Water 0.13% Private Equity 0.11% Retail 0.11% Transportation 0.10% Energy-alternate sources 0.09% Aerospace and defense 0.08% Building materials 0.07%

Total 97.69%




212

SANTAND ER LATIN AM ERICAN INVESTM ENT GRADE ESG BOND SANTANDER LATIN AME RICAN INVE STMENT GRADE E SG BOND




Cost USD

Market Value

USD


Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market Bonds Brazil

USD 700,000 SUZANO AUSTRIA GMBH CALLABLE NOTES FIXED 5.000% 15/01/30 786,997.36 768,544.00 2.39% USD 350,000 SUZANO AUSTRIA GMBH CALLABLE NOTES FIXED 7.000% 16/03/47 460,877.95 443,896.25 1.38%

Total Brazil 1,247,875.31 1,212,440.25 3.77% Chile

USD 400,000 BANCO DE CREDITO E INVERSIONES SA CALLABLE MEDIUM 2.875% 14/10/2031 393,112.22 394,650.00 1.23%

USD 400,000 BANCO SANTANDER CHILE CALLABLE MEDIUM TERM NOTE 3.177% 26/10/2031 400,000.00 406,574.00 1.26%

USD 900,000 CAP SA CALLABLE NOTES FIXED 3.900% 27/04/31 902,159.05 846,886.50 2.63% USD 500,000 CELULOSA ARAUCO Y CONSTITUCION SA CALLABLE NOTES

4.250% 30/04/29 542,725.44 533,277.50 1.66% USD 200,000 CELULOSA ARAUCO Y CONSTITUCION SA CALLABLE NOTES

4.500% 01/08/24 213,880.32 212,750.00 0.66% USD 200,000 CENCOSUD SA CALLABLE NOTES FIXED 5.150% 12/02/25 219,046.38 216,207.00 0.67% USD 450,000 CENCOSUD SA CALLABLE NOTES FIXED 6.625% 12/02/45 588,884.05 580,680.00 1.80% USD 150,000 EMBOTELLADORA ANDINA SA CALLABLE NOTES FIXED 3.950%

21/01/2050 160,688.59 155,559.00 0.48% USD 250,000 EMPRESA NACIONAL DE TELECOMUNICACIONES SA CALLABLE

3.050% 14/09/2032 249,956.13 246,033.75 0.76% USD 214,000 EMPRESA NACIONAL DE TELECOMUNICACIONES SA CALLABLE

4.750% 01/08/26 236,034.63 232,148.27 0.72% USD 700,000 ENEL AMERICAS SA CALLABLE NOTES FIXED 4.000% 25/10/26 767,011.09 746,238.50 2.32% USD 174,000 ENEL GENERACION CHILE SA/CAYMAN ISLANDS BOND FIXED

7.875% 01/02/2027 214,152.04 212,356.56 0.66% USD 250,000 FALABELLA SA CALLABLE NOTES FIXED 3.375% 15/01/2032 247,836.61 247,858.75 0.77% USD 200,000 INTERCHILE SA CALLABLE NOTES FIXED 4.500% 30/06/2056 200,000.00 212,817.00 0.66% USD 400,000 INTERCHILE SA CALLABLE NOTES FIXED 4.500% 30/06/2056 429,666.08 425,634.00 1.32% USD 450,000 INVERSIONES CMPC SA CALLABLE NOTES FIXED 3.000% 06/04/31 452,552.49 441,650.25 1.37% USD 500,000 INVERSIONES CMPC SA CALLABLE NOTES FIXED 4.750% 15/09/24 538,264.81 533,652.50 1.66% USD 400,000 SOCIEDAD QUIMICA Y MINERA DE CHILE SA CALLABLE 3.500%

10/09/2051 396,728.55 388,078.00 1.21% USD 400,000 TELEFONICA MOVILES CHILE SA CALLABLE NOTES FIXED 3.537%

18/11/2031 400,000.00 398,950.00 1.24% Total Chile 7,552,698.48 7,432,001.58 23.08% Colombia

USD 350,000 ECOPETROL SA CALLABLE BOND FIXED 7.375% 18/09/43 438,070.29 386,382.50 1.20% USD 450,000 GRUPO ENERGIA BOGOTA SA ESP CALLABLE BOND FIXED 4.875%

15/05/30 487,383.54 485,516.25 1.51% USD 300,000 INTERCONEXION ELECTRICA SA ESP CALLABLE NOTES 3.825%

26/11/2033 300,000.00 308,080.51 0.96% USD 575,000 SURA ASSET MANAGEMENT SA CALLABLE NOTES FIXED 4.375%

11/04/27 617,348.80 619,873.00 1.91% USD 550,000 TRANSPORTADORA DE GAS INTERNACIONAL SA ESP 5.550%

01/11/28 622,911.20 607,139.50 1.89% Total Colombia 2,465,713.83 2,406,991.76 7.47% Mexico

USD 400,000 ALFA SAB DE CV CALLABLE NOTES FIXED 5.250% 25/03/24 430,588.68 423,918.00 1.32% USD 500,000 ALFA SAB DE CV CALLABLE NOTES FIXED 6.875% 25/03/44 628,928.10 649,480.00 2.02% USD 750,000 ALPEK SAB DE CV CALLABLE NOTES FIXED 4.250% 18/09/29 817,418.22 798,888.75 2.48%





213


Cost USD

Market Value

USD


USD 250,000 AMERICA MOVIL SAB DE CV CALLABLE NOTES FIXED 6.125%

30/03/40 343,152.22 351,403.95 1.09% USD 700,000 BANCO SANTANDER MEXICO SA INSTITUCION DE BANCA

VARIABLE 01/10/28 756,787.08 737,677.50 2.29% USD 850,000 BBVA BANCOMER SA/TEXAS CALLABLE NOTES VARIABLE

5.350% 12/11/29 891,131.62 886,728.50 2.75% USD 800,000 BBVA BANCOMER SA/TEXAS CALLABLE NOTES VARIABLE

5.875% 13/09/34 888,402.59 874,768.00 2.72% USD 650,000 COCA-COLA FEMSA SAB DE CV CALLABLE NOTES FIXED 2.750%

22/01/30 681,765.94 665,795.00 2.07% USD 300,000 COCA-COLA FEMSA SAB DE CV CALLABLE NOTES FIXED 5.250%

26/11/43 390,252.74 391,512.00 1.22% USD 500,000 CONTROLADORA MABE SA DE CV CALLABLE NOTES FIXED

5.600% 23/10/28 570,177.69 570,422.50 1.77% USD 750,000 CORP INMOBILIARIA VESTA SAB DE CV CALLABLE NOTES 3.625%

13/05/31 754,722.42 736,076.25 2.29% USD 200,000 FOMENTO ECONOMICO MEXICANO SAB DE CV CALLABLE 3.500%

16/01/50 205,388.02 209,428.00 0.65% USD 200,000 FOMENTO ECONOMICO MEXICANO SAB DE CV CALLABLE 4.375%

10/05/43 230,807.10 235,351.00 0.73% USD 350,000 GRUPO BIMBO SAB DE CV CALLABLE NOTES FIXED 4.000%

06/09/49 351,699.76 375,121.31 1.16% USD 850,000 INFRAESTRUCTURA ENERGETICA NOVA SAB DE CV CALLABLE

4.875% 14/01/48 885,337.89 860,089.50 2.67% USD 512,316 MEXICO GENERADORA DE ENERGIA S DE RL CALLABLE 5.500%

06/12/32 584,782.75 566,952.06 1.76% USD 700,000 NEMAK SAB DE CV CALLABLE NOTES FIXED 3.625% 28/06/31 696,955.71 683,504.50 2.12% USD 450,000 ORBIA ADVANCE CORP SAB DE CV CALLABLE NOTES FIXED

6.750% 19/09/42 593,691.08 598,441.50 1.86% USD 400,000 TRUST FIBRA UNO CALLABLE NOTES FIXED 4.869% 15/01/30 440,812.30 423,072.00 1.31%

Total Mexico 11,142,801.91 11,038,630.32 34.28% Panama

USD 950,000 CABLE ONDA SA CALLABLE NOTES FIXED 4.500% 30/01/30 1,003,582.85 976,861.25 3.03% Total Panama 1,003,582.85 976,861.25 3.03% Peru

USD 350,000 BANCO DE CREDITO DEL PERU CALLABLE MEDIUM TERM 3.250% 30/09/2031 347,821.67 346,130.75 1.07%

USD 500,000 CEMENTOS PACASMAYO SAA CALLABLE NOTES FIXED 4.500% 08/02/23 508,977.72 509,590.00 1.58%

USD 600,000 CONSORCIO TRANSMANTARO SA CALLABLE NOTES FIXED 4.700% 16/04/2034 670,390.77 660,117.00 2.05%

USD 675,000 CORP LINDLEY SA CALLABLE NOTES FIXED 4.625% 12/04/23 690,489.19 688,651.88 2.14% USD 500,000 MINSUR SA CALLABLE NOTES FIXED 4.500% 28/10/2031 497,877.11 511,382.51 1.59% USD 894,000 SCOTIABANK PERU SAA CALLABLE NOTES VARIABLE 13/12/27 923,731.03 912,054.33 2.84%

Total Peru 3,639,287.49 3,627,926.47 11.27% Supranational

USD 900,000 PROMIGAS SA ESP / GASES DEL PACIFICO SAC CALLABLE 3.750% 16/10/29 914,795.16 884,677.50 2.75%

Total Supranational 914,795.16 884,677.50 2.75%





214


Cost USD

Market Value

USD


The Netherlands

USD 550,000 SIGMA FINANCE NETHERLANDS BV CALLABLE NOTES FIXED 4.875% 27/03/28 626,068.11 612,763.25 1.90%

Total The Netherlands 626,068.11 612,763.25 1.90% United Kingdom

USD 400,000 FRESNILLO PLC CALLABLE NOTES FIXED 4.250% 02/10/50 412,587.16 419,680.00 1.30% USD 350,000 FRESNILLO PLC NOTES FIXED USD 5.500% 13/11/23 378,561.10 376,213.25 1.17%

Total United Kingdom 791,148.26 795,893.25 2.47% United States of America

USD 400,000 SOUTHERN COPPER CORP CALLABLE NOTES FIXED 7.500% 27/07/35 566,909.18 572,096.00 1.78%

Total United States of America 566,909.18 572,096.00 1.78% Total Bonds 29,950,880.58 29,560,281.63 91.80% Total Transferable securities admitted to an official stock exchange and/or dealt in on another regulated market 29,950,880.58 29,560,281.63 91.80% Total investments 29,950,880.58 29,560,281.63 91.80%



215


Mexico 34.28% Chile 23.08% Peru 11.27% Colombia 7.47% Brazil 3.77% Panama 3.03% Supranational 2.75% United Kingdom 2.47% The Netherlands 1.90% United States of America 1.78%

Total 91.80%


% of Net Assets

Banks 14.16% Electricity 12.40% Forest products and paper 9.12% Beverages 7.29% Mining 5.84% Chemicals 5.55% Food 5.53% Gas 4.26% Telecommunications 3.81% Holding companies-diversified 3.34% Media 3.03% Iron and steel 2.63% Real estate 2.29% Auto parts and equipment 2.12% Diversified financial services 1.91% Pipelines 1.89% Home Furnishings 1.77% Building materials 1.58% REITs 1.31% Oil and gas 1.20% Retail 0.77%

Total 91.80%




216

SANTAND ER FU TURE WEA LTH SANTANDER FUTU RE WEALTH




Cost USD

Market Value

USD



EUR 139,663 LYXOR NEW ENERGY UCITS ETF ETP EUR 7,018,095.85 6,694,463.76 2.92% Total France 7,018,095.85 6,694,463.76 2.92% Ireland

USD 738,640 ISHARES DIGITALISATION UCITS ETF ETP USD 7,899,147.30 7,511,968.80 3.28% USD 993,477 ISHARES ELECTRIC VEHICLES & DRIVING TECHNOLOGY 7,755,703.14 8,221,022.18 3.59% EUR 141,386 ISHARES GLOBAL TIMBER & FORESTRY UCITS ETF ETP GBP 4,413,793.22 4,637,015.13 2.03% USD 901,480 ISHARES S&P 500 HEALTH CARE SECTOR UCITS ETF ETP 8,769,530.51 9,684,148.90 4.23% USD 314,306 L&G CYBER SECURITY UCITS ETF ETP 8,088,747.72 8,005,373.82 3.50% EUR 175,221 NEUBERGER BERMAN INVESTMENT FUNDS PLC-NEUBERGER 2,894,240.41 3,098,504.76 1.35% EUR 43,269 SPDR MSCI EUROPE HEALTH CARE UCITS ETF ETP EUR 9,183,785.94 9,549,804.72 4.17% EUR 455,153 WELLINGTON FINTECH FUND OPEN-END FUND 8,424,298.55 7,767,525.00 3.39% EUR 31,417 X MSCI WORLD 1C 2,960,101.78 3,097,781.00 1.35%


EUR 2,218 ALLIANZ GLOBAL ARTIFICIAL INTELLIGENCE OPEN-END 7,251,050.57 7,272,564.05 3.18% USD 1,878 AXA WORLD FUNDS - FRAMLINGTON ROBOTECH OPEN-END 520,535.19 533,947.14 0.23% USD 30,735 AXA WORLD FUNDS - FRAMLINGTON ROBOTECH OPEN-END 7,872,219.35 8,736,303.80 3.82% USD 144,424 BLACKROCK GLOBAL FUNDS - NEXT GENERATION 3,832,505.11 3,821,468.83 1.67% EUR 483,569 BNP PARIBAS EASY ECPI CIRCULAR ECONOMY LEADERS 8,225,942.62 9,169,277.12 4.00% EUR 21,760 BNP PARIBAS FUNDS - AQUA OPEN-END FUND EUR 8,138,916.80 9,005,240.55 3.93% EUR 4,480 BNP PARIBAS FUNDS ENERGY TRANSITION OPEN-END FUND 7,501,778.98 6,628,962.07 2.90% EUR 20,480 BNP PARIBAS FUNDS - SMART FOOD OPEN-END FUND EUR 3,501,470.97 3,569,867.90 1.56% EUR 44 CPR INVEST - GLOBAL SILVER AGE OPEN-END FUND EUR 8,270,470.41 8,681,433.95 3.79% USD 7,620 CREDIT SUISSE LUX DIGITAL HEALTH EQUITY FUND 8,345,952.88 7,098,657.11 3.10% EUR 67,934 EDMOND DE ROTHSCHILD FUND - BIG DATA OPEN-END FUND 8,518,849.39 8,838,708.57 3.86% USD 218,886 GOLDMAN SACHS SICAV - GOLDMAN SACHS GLOBAL 7,487,417.34 7,536,260.09 3.29% USD 343,771 INVESCO ASIA CONSUMER DEMAND FUND OPEN-END FUND 8,206,893.34 7,122,931.02 3.11% EUR 14,867 JPMORGAN FUNDS - THEMATICS - GENETIC THERAPIES 1,640,454.67 1,666,687.49 0.73% EUR 53,200 JPMORGAN FUNDS - THEMATICS - GENETIC THERAPIES 7,011,202.01 5,964,010.25 2.60% USD 13,931 LYXOR MSCI WORLD INFORMATION TECHNOLOGY TR UCITS 7,841,230.70 9,139,014.62 3.99% USD 89,048 MORGAN STANLEY INVESTMENT FUNDS - GLOBAL BRANDS 8,763,014.37 9,682,242.10 4.24% USD 186,217 NINETY ONE GLOBAL STRATEGY FUND - GLOBAL 4,080,014.85 4,389,135.09 1.92% EUR 90,716 NORDEA 1 SICAV - GLOBAL CLIMATE AND ENVIRONMENT 3,502,831.22 3,828,353.96 1.67% EUR 18,746 PICTET - SECURITY OPEN-END FUND EUR 8,189,671.63 8,799,643.12 3.84% USD 28,609 PICTET-SMARTCITY OPEN-END FUND USD 8,376,351.49 8,548,042.56 3.73% EUR 12,098 ROBECO CAPITAL GROWTH FUNDS - ROBECOSAM 4,312,249.55 4,480,535.00 1.96% EUR 1,583 ROBECO CAPITAL GROWTH FUNDS SICAV MUTUAL FUND EUR 822,227.41 844,318.16 0.37% EUR 12,346 ROBECO CAPITAL GROWTH FUNDS SICAV MUTUAL FUND EUR 6,368,683.91 6,583,584.69 2.88%




217


Luxembourg 66.37% Ireland 26.89% France 2.92%

Total 96.18%


% of Net Assets


Total 96.18%


218

Notes to the financial statements as at December 31, 2021 Notes to the financial statements as at December 31, 2021 (continued)

Note 1 - General SANTANDER SICAV (the "SICAV") is a Luxembourg incorporated investment company (Société d’Investissement à Capital Variable) which was set up for an unlimited duration in Luxembourg in the form of a “société anonyme” on October 27, 1993, in accordance with the provisions of the amended Law of March 30, 1988 on undertakings for collective investment and the amended Law of August 10, 1915 on commercial companies. Since 2011, the SICAV is subject to the provisions of part I of the Law of December 17, 2010 (the “Law of 2010”), relating to Undertakings of Collective Investment in Transferable Securities, as amended. Its Articles of Incorporation were published in the “Mémorial C, Recueil des Sociétés et Associations” (the “Mémorial”) on November 27, 1993. They have been amended for the last time on May 30, 2014 and the changes have been published in the Mémorial on June 20, 2013 (full restatement of the articles of association further to an Extraordinary General Meeting of Shareholders held on June 20, 2014). The Board of Directors of the SICAV has appointed Santander Asset Management Luxembourg S.A. as Management Company of the SICAV within the meaning of Chapter 15 of the Law of 2010. Santander Asset Management Luxembourg S.A. was incorporated on November 29, 1996 as a corporation (société anonyme) under the laws of Luxembourg for an unlimited duration. It has its registered office at 6, route de Trèves, L-2633 Senningerberg, Grand Duchy of Luxembourg. Its Articles of Incorporation were initially published in the Mémorial on January 13, 1997 and were last amended on 24 January 2019. The SICAV is registered on the Register of Commerce and Companies of Luxembourg under number B 45 337. The SICAV’s financial year ends on December 31 of each year. The SICAV aims to provide investors with a choice of Sub-Funds, invested in the principal types of securities, equities and bonds of the world encompassing the strategies of capital conservation and growth and in accordance with the principle of risk-spreading. On January 5, 2021, the Investment Manager SANTANDER ASSET MANAGEMENT UK LIMITED of the Sub-Fund SANTANDER SELECT INCOME was replaced by SANTANDER ASSET MANAGEMENT S.A., S.G.I.I.C. On September 21, 2021, the Investment Manager SANTANDER ASSET MANAGEMENT UK LIMITED of the Sub-Funds SANTANDER SELECT DEFENSIVE, SANTANDER SELECT MODERATE and SANTANDER SELECT DYNAMIC was replaced by SANTANDER ASSET MANAGEMENT S.A., S.G.I.I.C. On October 27, 2020, the Board of Directors of the SICAV resolved to merge the Sub-Fund SANTANDER AM BRAZILIAN EQUITY into the Sub-Fund SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES with effective date as of January 18, 2021. On October 27, 2020, the Board of Directors of the SICAV resolved to merge the Sub-Fund SANTANDER BRAZILIAN SHORT DURATION into the Sub-Fund SANTANDER LATIN AMERICAN CORPORATE BOND with effective date as of January 18, 2021. On October 27, 2020, the Board of Directors of the SICAV resolved to merge the Sub-Fund SANTANDER SELECT TOTAL RETURN into the Sub-Fund SANTANDER GO ABSOLUTE RETURN with effective date as of January 18, 2021.


Notes to the financial statements as at December 31, 2021 (continued)

219

On August 25, 2021, the Board of Directors of the SICAV resolved to merge the Sub-Fund SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES into the Sub-Fund SANTANDER AM EURO EQUITY with effective date as of December 13, 2021. On November 25, 2020, the Board of Directors of the SICAV resolved to launch the Sub-Fund SANTANDER FUTURE WEALTH with effective date as of January 26, 2021. On July 31, 2020, the Board of Directors of the SICAV resolved to launch the Sub-Fund SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND with effective date as of February 22, 2021. Pursuant to the Articles of Incorporation of the SICAV, the Board of Directors of the SICAV may decide to issue, within each Sub-Fund, separate classes of shares (hereinafter referred to as a “Class” or “Classes” as appropriate). The Classes of Shares currently issued by the SICAV (Class A, Class AD, Class AE, Class AEH denominated in EUR, Class APH denominated in GBP, Class B, Class BD, Class BE, Class BEH denominated in EUR, Class CDE denominated in EUR, Class I, Class IE and Class IEH denominated in EUR, Class M, Class ME, Class MEH, Class MD denominated in EUR, Class SE denominated in EUR, Class XE denominated in EUR, Class AU, Class AUH denominated in USD, Class BUH denominated in USD, Class M denominated in USD, Class V denominated in USD, Class C, Class CD denominated in USD, Class D denominated in USD, Class I, Class ID denominated in USD, Class X denominated in USD, Class IKP denominated in GBP and Class RKP denominated in GBP) differ in sales and/or redemption charge structure, fee structure, investment management fee, currency, investment minimum, distribution policy, hedging policy, the investor targeted and the performance fee. In addition to classes issued in the reference currency of the relevant Sub-Fund, classes may be available in the following currencies (currency abbreviation inserted in the relevant class name): - EURO (abbreviated E), - Japanese Yen (abbreviated J), - US Dollars (abbreviated U), - GBP (abbreviated P). Unless otherwise provided in the Appendix of the prospectus relating to the relevant Sub-Fund: - Class A Shares may only be acquired by investors subscribing for a minimum amount of EUR 500, USD 500 or GBP 1,000 following the reference currency of the Sub-Fund. - Class AD Shares may only be acquired by investors subscribing for a minimum amount of EUR 500, USD 500 or GBP 1,000 following the reference currency of the Sub-Fund. This Class AD aims to pay dividends to the Shareholders owning such Class of Shares. - Class B Shares may only be acquired by investors subscribing for a minimum amount of EUR 25,000 or USD 25,000 following the reference currency of the Sub-Fund. - Class BD Shares may only be acquired by investors subscribing for a minimum amount of EUR 25,000 or USD 25,000 following the reference currency of the Sub-Fund. This Class BD aims to pay dividends to the Shareholders owning such Class of Shares. - Class C Shares may only be acquired by investors subscribing for a minimum amount of EUR 300,000 or USD 300,000 following the reference currency of the Sub-Fund.



220

- Class CD Shares may only be acquired by investors subscribing for a minimum amount of EUR 300,000 or USD 300,000 following the reference currency of the Sub-Fund. This Class CD aims to pay dividends to the Shareholders owning such Class of Shares. - Class D Shares may only be acquired by investors subscribing for a minimum amount of GBP 25,000 or USD 25,000 following the reference currency of the Sub-Fund. This Class D aims to pay dividends to the Shareholders owning such Class of Shares. - Class I Shares may only be acquired by Institutional Investors within the meaning of article 174 of the amended Law of 2010 relating to undertakings for collective investment subscribing for a minimum amount of USD 500,000 or EUR 500,000 following the reference currency of the Sub-Fund. - Class ID Shares may only be acquired by Institutional Investors subscribing for a minimum amount of USD 500,000 or EUR 500,000 following the reference currency of the Sub-Fund. This Class ID aims to pay dividends to the Shareholders owning such Class of Shares. - Class IK Shares may only be acquired by Institutional Investor subscribing for a minimum amount of GBP 500,000 or EUR 500,000 following the reference currency of the Sub-Fund. The Board of Directors of the SICAV intends to obtain certification from the United Kingdom's HM Revenue & Customs that the SICAV be considered as a reporting offshore fund ("UK reporting status") for this Class. - Class M Shares may only be acquired by Institutional Investors qualifying as feeder funds and authorised by the Board of Directors of the SICAV. No minimum subscription amount is applicable to this share class. The subscription currency will be EUR or USD following the reference currency of the Sub-Fund. - Class MD Shares may only be acquired by Institutional Investors qualifying as feeder funds and authorised by the Board of Directors of the SICAV. No minimum subscription amount is applicable to this share class. The subscription currency will be EUR or USD following the reference currency of the Sub-Fund. MD shares aims to pay dividends to the shareholders owning such class of shares. - Class RK Shares may only be acquired by investors subscribing for a minimum amount of GBP 500 following the reference currency of the Sub-Fund. The Board of Directors of the SICAV intends to obtain certification from the United Kingdom's HM Revenue & Customs that the SICAV be considered as a reporting offshore fund ("UK reporting status) for this Class. - Class S are reserved for providers of independent advisory services or discretionary investment management services, or other distributors who: (i) provide investment services and activities as defined by Directive 2014/65/EU on markets in financial instruments ("MiFID II"); and ii) have separate fee arrangements with their clients in relation to those services and activities provided; and (iii) do not receive any other fee, rebate or payment payable out of the relevant Sub-Fund’s assets in relation to those services and activities. - Class V Shares may only be acquired by Institutional Investors qualifying as feeder funds established in Brazil and authorized by the Board of Directors. No minimum subscription amount is applicable to this Share Class. It seeks to systematically convert the value of its net assets to BRL via the use of derivatives including non-deliverable forwards. As BRL is a restricted currency, the Class V Shares cannot be denominated in BRL but instead will be denominated in the Reference Currency of the relevant Sub-Fund. Due to the use of currency derivatives, the NAV per Share will fluctuate in line with the fluctuations in exchange rates between the BRL and the Reference Currency of the Sub-Fund. The effects of this will be reflected in the performance of the Share Class which therefore may differ significantly from the performance of other Share Classes within the Sub-Fund. Any profit or loss as well as costs and expenses resulting from these transactions will be reflected exclusively in the NAV of this Share Class.



221

- Class X Shares may only be acquired by Santander Asset Management Group entities and their affiliates at any time and authorized by the Board of Directors. No minimum subscription amount is applicable to this Share Class. - Class ZD Shares may only be acquired by investors who are clients of Santander Consumer Bank AG acting as distributor and subscribing via the official online application run by Santander Consumer Bank AG for a minimum amount of EUR 25 following the reference currency of the Sub-Fund. Class ZD Shares aim to pay dividends to the shareholders owning such Class of Shares. No management fee will be charged out of the net assets of this Class of Shares due to the specific charging structure in place for this Class of Shares. The Management Company will instead be paid for its services out of the fees charged by Santander Consumer Bank AG to its investors in accordance with the methodology and payment terms as may be agreed between the Management Company and Santander Consumer Bank AG. The Management Company shall remain responsible for the payment of the fees of the Investment Manager. Where offered in a currency other than the relevant Sub-Fund’s reference currency, the Share Class’ currency may be hedged to the reference currency. The Share Class will be designated as such by the insertion of the abbreviation H in the relevant Class name. As at December 31, 2021, the shares of the following Sub-Funds were offered for issue and sale: - SANTANDER GO SHORT DURATION DOLLAR (denominated in USD) *Class A *Class B *Class BE (denominated in EUR) *Class I *Class S (launched on April 8, 2021) - SANTANDER LATIN AMERICAN CORPORATE BOND (denominated in USD) *Class A *Class AD *Class AE (denominated in EUR) *Class AEH (denominated in EUR) *Class I *Class ID *Class RKP (denominated in GBP) *Class V - SANTANDER GO NORTH AMERICAN EQUITY (denominated in USD) *Class A *Class B *Class BEH (denominated in EUR) *Class C *Class I *Class M *Class ME (denominated in EUR) *Class RKP (launched on January 28, 2021) (denominated in GBP) *Class SE (denominated in EUR) *Class V



222

- SANTANDER EUROPEAN DIVIDEND (denominated in EUR) *Class A *Class AD *Class AU (denominated in USD) *Class B *Class BUH (denominated in USD) *Class I - SANTANDER AM LATIN AMERICAN FIXED INCOME (denominated in USD) *Class A *Class AE (denominated in EUR) *Class B *Class D *Class I - SANTANDER AM EURO CORPORATE BOND (denominated in EUR) *Class A *Class AD *Class B *Class BD *Class I - SANTANDER AM EURO EQUITY (denominated in EUR) *Class A *Class AU (denominated in USD) *Class B *Class I *Class IKP (denominated in GBP) *Class M - SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES (denominated in USD) *Class A *Class AE (launched on January 18, 2021) (denominated in EUR) *Class B *Class I *Class IE (denominated in EUR) *Class ME (launched on July 13, 2021) (denominated in EUR) *Class RKP (launched on January 28, 2021) (denominated in GBP) - SANTANDER ACTIVE PORTFOLIO 1 (denominated in USD) *Class A *Class AE (denominated in EUR) *Class B - SANTANDER ACTIVE PORTFOLIO 2 (denominated in USD) *Class A *Class AE (denominated in EUR) *Class B



223

- SANTANDER CORPORATE COUPON (denominated in USD) *Class AD *Class CD *Class CDE (denominated in EUR) - SANTANDER SELECT DEFENSIVE (denominated in EUR) *Class A *Class AUH (denominated in USD) - SANTANDER SELECT MODERATE (denominated in EUR) *Class A *Class AUH (denominated in USD) - SANTANDER SELECT DYNAMIC (denominated in EUR) *Class A *Class AUH (denominated in USD) - SANTANDER MULTI INDEX SUBSTANCE (denominated in EUR) *Class A - SANTANDER MULTI INDEX BALANCE (denominated in EUR) *Class A - SANTANDER MULTI INDEX AMBITION (denominated in EUR) *Class A - SANTANDER SELECT INCOME (denominated in EUR) *Class AD *Class MD - SANTANDER GO ABSOLUTE RETURN (denominated in EUR) *Class A *Class B *Class BUH (denominated in USD) *Class I *Class M *Class RKP (launched on January 28, 2021) (denominated in GBP) - SANTANDER GO GLOBAL EQUITY ESG (denominated in USD) *Class A *Class AE (denominated in EUR) *Class B *Class BE (denominated in EUR) *Class BEH (denominated in EUR) *Class I *Class IKP (denominated in GBP) *Class M *Class RKP (denominated in GBP) *Class SE (launched on June 15, 2021) (denominated in EUR) *Class V



224

- SANTANDER COVERED BOND (denominated in EUR) *Class B *Class I - SANTANDER GO DYNAMIC BOND (denominated in USD) *Class A *Class B *Class BEH (denominated in EUR) *Class I *Class IEH (denominated in EUR) *Class M *Class MEH (launched on January 25, 2021) (denominated in EUR) *Class RKP (launched on January 28, 2021) (denominated in GBP) - SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND (denominated in USD) (launched on February 22, 2021) *Class A (launched on March 23, 2021) *Class I (launched on February 22, 2021) - SANTANDER FUTURE WEALTH (denominated in USD) (launched on January 26, 2021) *Class A (launched on January 26, 2021) *Class AE (denominated in EUR) (launched on January 26, 2021) *Class AEH (denominated in EUR) (launched on November 15, 2021) *Class APH (denominated in GBP) (launched on July 6, 2021) *Class M (launched on June 1, 2021) *Class RKP (denominated in GBP) (launched on January 28, 2021) *Class V (launched on June 17, 2021) *Class X (launched on June 17, 2021) *Class XE (denominated in EUR) (launched on May 20, 2021) The Articles of Incorporation of the SICAV allow the Board of Directors of the SICAV to create other additional Sub-Funds, which may be denominated in various currencies as well as, within each Sub-Fund, separate classes of shares, subject to the limits applicable thereto. It is possible for Shareholders to convert shares from any Sub-Fund to any other existing Sub-Fund in accordance with the conditions set out in the current prospectus. Note 2 - Dividends paid The Board of Directors of the SICAV resolved on June 9, 2021 to pay the following interim dividends per share on June 29, 2021: - SANTANDER LATIN AMERICAN CORPORATE BOND *Class AD: 2.451084 USD - SANTANDER AM LATIN AMERICAN FIXED INCOME *Class D: 1.308685 USD - SANTANDER CORPORATE COUPON *Class AD: 1.221365 USD *Class CD: 1.255984 USD *Class CDE: 1.272351 EUR



225

The Board of Directors of the SICAV resolved on December 14, 2021, 2021 to pay the following interim dividends per share on December 17, 2021: - SANTANDER LATIN AMERICAN CORPORATE BOND *Class AD: 2.427994 USD *Class ID: 5.557507 USD - SANTANDER EUROPEAN DIVIDEND *Class AD: 3.800000 EUR - SANTANDER AM LATIN AMERICAN FIXED INCOME *Class D: 1.350168 USD - SANTANDER AM EURO CORPORATE BOND *Class AD: 1.800000 EUR *Class BD: 1.433239 EUR - SANTANDER CORPORATE COUPON *Class AD: 1.105296 USD *Class CD: 1.139354 USD *Class CDE: 1.264584 EUR - SANTANDER SELECT INCOME *Class AD: 1.467630 EUR *Class MD: 1.636636 EUR Note 3 - Summary of significant accounting policies The reporting currency of the SICAV is EUR. The financial statements of the SICAV have been presented in conformity with legal and regulatory requirements in Luxembourg, applicable to Undertakings of Collective Investment in transferable securities and prepared in accordance with generally accepted accounting policies in Luxembourg. It includes the following significant accounting policies: 3.1 Valuation of assets - each security and/or money market instrument which is quoted or dealt in on a stock exchange is valued at its latest available closing price, and where appropriate at the middle market price on the stock exchange which is normally the principal market for such security and/or money market instrument and each security and/or money market instrument dealt in on another regulated market is valued in a manner as near as possible to that for quoted securities. - the value of securities and/or money market instruments not quoted or dealt in on a stock exchange or another regulated market and of securities and/or money market instruments which are so quoted or dealt in but in respect of which no price quotation is available or the price quoted is not representative of the securities' and/or money market instruments' fair market value are determined prudently and in good faith by the Board of Directors of the SICAV on the basis of their reasonably foreseeable sales prices. - shares or units in underlying open-ended investment funds are valued at their last available calculated NAV. Cash and other liquid assets are valued at their face value with interest accrued.



226

3.2 Net realised gain/(loss) on sales of investments Net realised result on sales of investments is determined on the basis of the average cost of investments sold and are presented in the Statement of operations and changes in net assets. 3.3 Foreign exchange translation Combined statements of the SICAV The various items of the combined Statement of net assets and the combined Statement of operations and changes in net assets of the SICAV as of December 31, 2021 are equal to the total sum of the corresponding items of the Statements of net assets and Statements of operations and changes in net assets of each Sub-Fund translated into EUR at the exchange rates ruling as of December 31, 2021. Transactions in foreign currencies Assets and liabilities expressed in currencies other than the respective Sub-Fund’s currency are translated into the respective Sub-Fund’s currency at the exchange rates prevailing as of December 31, 2021. Income and expenses in currencies other than the respective Sub-Fund’s currency are translated into the respective Sub-Fund’s currency at the exchange rates prevailing at the transaction date. Net realised and change in net unrealised gain or loss on foreign exchange are recorded in the Statement of operations and changes in net assets under the heading “Foreign exchange”. Exchange rates used as of December 31, 2021:

1 EUR = 0.839603 GBP

1 EUR = 1.137200 USD

3.4 Valuation of forward foreign exchange contracts Outstanding forward foreign exchange contracts are valued on the basis of forward exchange rates prevailing at the relevant valuation date and net realised and change in net unrealised appreciation or depreciation are included in the Statement of operations and changes in net assets. 3.5 Valuation of futures contracts The futures contracts are valued on the basis of the last available price on the relevant market at the valuation date and net realised and change in net unrealised gain or loss are included in the Statement of operations and changes in net assets. 3.6 Valuation of options contracts The settlement value of options traded on stock markets is based on the closing price published by the stock exchanges on which the Sub-Fund concluded the contracts. The settlement value of options that are not traded on a stock exchange is determined according to valuation rules established by the Board of Directors of the SICAV, according to uniform criteria for each type of contracts. Net realised and change in net unrealised gain or loss are included in the Statement of operations and changes in net assets.



227

3.7 Valuation of interest rate swap contracts An interest rate swap contract is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interest payments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged. Net realised and change in net unrealised gain or loss are included in the Statement of operations and changes in net assets. 3.8 Valuation of credit default swap contracts A credit default swap contract is a credit derivative transaction in which two parties enter into an agreement, whereby one party pays the other a fixed periodic coupon for the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset, occurs. If such an event occurs, the party will then make a payment to the first party, and the Swap will terminate. The value of the underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers. Net realised and change in net unrealised gain or loss are included in the Statement of operations and changes in net assets. 3.9 Formation expenses Formation expenses are amortised on a straight-line basis over a period of five years. 3.10 Income recognition Dividends, net of any unrecoverable withholding taxes, are taken into income on the date upon which the relevant securities are first listed as "ex-dividend". Interest income is accrued on a daily basis. 3.11 Prepaid expenses Prepaid expenses are listed within the Statement of Net Assets until the prepaid item is consumed. Once consumption has occurred, the prepaid expenses are removed from the Statement of Net Assets and are instead reported in that period as an expense on the income statement. 3.12 Valuation of reverse repurchase agreements A reverse repurchase agreement is an agreement by which, in exchange for a sum, the SICAV receives (purchases) transferable securities from a counterparty which agrees to repurchase them at a price and a term specified between the two parties when the agreement is concluded. A reverse repurchase agreement is similar in its effects to a loan granted by the SICAV to the counterparty, the loan being secured by transferable securities. The SICAV accounts for the repurchase agreement as if it were a loan and shows it in the Statement of net assets under the heading “Receivable on reverse repurchase agreements / Payable on reverse repurchase agreements”. A reverse repurchase agreement is generally only of short duration and is not transferable. The SICAV values this type of agreement at cost, which, when combined with accrued interest, provides an approximation of the value at which the securities will be repurchased by the counterparty.



228

3.13 Valuation of total return swaps A total return swap is a bilateral agreement in which each party agrees to exchange payments based on the performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. To the extent the total return of the reference asset underlying the transaction exceeds or falls short of the offsetting payment, the SICAV receive a payment from or make a payment to the counterparty. Net realised and change in net unrealised gain or loss are included in the Statement of operations and changes in net assets. 3.14 Sub-Fund with a NAV dated December 30, 2021 The annual report shows all Sub-Funds with a Net Asset Value dated December 31, 2021. For the Sub-Funds SANTANDER GO SHORT DURATION DOLLAR and SANTANDER GO DYNAMIC BOND, the last tradable Net Asset Value was dated December 30, 2021 due to close markets in Latin America on December 31, 2021. Note 4 - Commissions on issue and redemption The SICAV's shares are issued at their NAV to which may be added a sales charge not exceeding 5%, paid to (if any), and retained by, the intermediary acting in relation to the distribution of shares, for: - SANTANDER GO SHORT DURATION DOLLAR, - SANTANDER LATIN AMERICAN CORPORATE BOND, - SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES, - SANTANDER GO NORTH AMERICAN EQUITY, - SANTANDER EUROPEAN DIVIDEND, - SANTANDER AM EURO CORPORATE BOND, - SANTANDER AM EURO EQUITY, - SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES, - SANTANDER SELECT DEFENSIVE, - SANTANDER SELECT MODERATE, - SANTANDER SELECT DYNAMIC, - SANTANDER MULTI INDEX SUBSTANCE, - SANTANDER MULTI INDEX BALANCE, - SANTANDER MULTI INDEX AMBITION, - SANTANDER SELECT INCOME, - SANTANDER SELECT TOTAL RETURN, - SANTANDER GO ABSOLUTE RETURN, - SANTANDER GO GLOBAL EQUITY ESG, - SANTANDER COVERED BOND, - SANTANDER GO DYNAMIC BOND, - SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND (launched on February 22, 2021), - SANTANDER FUTURE WEALTH (launched on January 26, 2021). The first 3% of the subscription commissions are paid to the Sub-Funds and any balance above 3% to the Management Company.



229

The SICAV's shares are issued at their NAV to which may be added a sales charge not exceeding 2%, paid to (if any), and retained by, the intermediary acting in relation to the distribution of shares, for: - SANTANDER AM LATIN AMERICAN FIXED INCOME. The SICAV's shares are redeemed at their NAV from which may be deducted a redemption commission of up to 1% for: - SANTANDER GO SHORT DURATION DOLLAR, - SANTANDER LATIN AMERICAN CORPORATE BOND, - SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES, - SANTANDER GO NORTH AMERICAN EQUITY, - SANTANDER EUROPEAN DIVIDEND, - SANTANDER AM EURO CORPORATE BOND, - SANTANDER AM EURO EQUITY, - SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES, - SANTANDER SELECT DEFENSIVE, - SANTANDER SELECT MODERATE, - SANTANDER SELECT DYNAMIC, - SANTANDER MULTI INDEX SUBSTANCE, - SANTANDER MULTI INDEX BALANCE, - SANTANDER MULTI INDEX AMBITION, - SANTANDER SELECT INCOME, - SANTANDER SELECT TOTAL RETURN, - SANTANDER GO ABSOLUTE RETURN, - SANTANDER GO GLOBAL EQUITY ESG, - SANTANDER COVERED BOND, - SANTANDER GO DYNAMIC BOND, - SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND (launched on February 22, 2021), - SANTANDER FUTURE WEALTH (launched on January 26, 2021). The first 3% of the redemption commissions are paid to the Sub-Funds and any balance above 3% to the Management Company. Note 5 - Management fees In consideration for the services rendered, the Management Company receives from the SICAV a shareholding Services fee of 0.03% p.a. of the average net assets of each Sub-Fund of the SICAV and a Management fee, payable monthly in arrears, calculated on each Valuation Day as stated in the prospectus of the SICAV, on the average NAV of each Sub-Fund of the SICAV at the annual rate below. In respect of a Sub-Fund’s investments in UCITS and other UCIs, the total management fee (excluding any performance fee, if any) charged to such Sub-Fund itself and the other UCITS and/or other UCIs concerned shall not exceed 3.5% of the relevant assets. SANTANDER GO SHORT DURATION DOLLAR - 0.70% p.a. for the Class A shares - 0.40% p.a. for the Class B shares - 0.40% p.a. for the Class BE shares - 0.15% p.a. for the Class I shares - 0.15% p.a. for the Class S shares



230

SANTANDER LATIN AMERICAN CORPORATE BOND - 1.75% p.a. for the Class A shares - 1.75% p.a. for the Class AD shares - 1.20% p.a. for the Class AE shares and Class AEH shares - 0.60% p.a. for the Class I shares and Class ID shares - 0.60% p.a. for the Class RKP shares - 0.34% p.a. for the Class V shares SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES (merged with effective date as of December 13, 2021) - 2.00% p.a. for the Class A shares (the last NAV was calculated on December 13, 2021) - 1.50% p.a. for the Class B shares (the last NAV was calculated on December 13, 2021) - 0.60% p.a. for the Class I shares (the last NAV was calculated on May 18, 2021) SANTANDER GO NORTH AMERICAN EQUITY - 2.00% p.a. for the Class A shares - 1.30% p.a. for the Class B shares - 1.30% p.a. for the Class BEH shares - 1.40% p.a. for the Class C shares - 0.60% p.a. for the Class I shares - 0.45% p.a. for the Class M shares - 0.45% p.a. for the Class ME shares - 0.60% p.a. for the Class RKP shares - 0.53% p.a. (0.65% until March 31, 2021) for the Class SE shares - 0.45% p.a. for the Class V shares SANTANDER EUROPEAN DIVIDEND - 2.00% p.a. for the Class A shares - 1.75% p.a. for the Class AD shares - 2.00% p.a. for the Class AU shares - 1.50% p.a. for the Class B shares - 1.50% p.a. for the Class BUH shares - 0.60% p.a. for the Class I shares SANTANDER AM LATIN AMERICAN FIXED INCOME - 1.75% p.a. for the Class A shares and Class AE shares - 0.70% p.a. for the Class B shares - 0.70% p.a. for the Class D shares - 0.60% p.a. for the Class I shares SANTANDER AM EURO CORPORATE BOND - 1.00% p.a. for the Class A shares - 1.00% p.a. for the Class AD shares - 0.75% p.a. for the Class B shares - 0.75% p.a. for the Class BD shares - 0.50% p.a. for the Class I shares



231

SANTANDER AM BRAZILIAN EQUITY (merged with effective date as of January 18, 2021) - 2.00% p.a. for the Class A shares and Class AE shares (the last NAV was calculated on January 18, 2021) - 1.50% p.a. for the Class B shares (the last NAV was calculated on January 18, 2021) SANTANDER BRAZILIAN SHORT DURATION (merged with effective date as of January 18, 2021) - 1.75% p.a. for the Class A shares and Class AE shares (the last NAV was calculated on January 18, 2021) SANTANDER AM EURO EQUITY - 2.00% p.a. for the Class A shares - 2.50% p.a. for the Class AU shares - 1.50% p.a. for the Class B shares - 0.60% p.a. for the Class I shares - 0.25% p.a. for the Class IKP shares - 0.05% p.a. for the Class M shares SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES - 1.75% p.a. for the Class A shares - 1.55% p.a. for the Class AE shares - 1.50% p.a. for the Class B shares - 0.70% p.a. for the Class I shares and Class IE shares - 0.02% p.a. for the Class ME shares - 0.70% p.a. for the Class RKP shares SANTANDER ACTIVE PORTFOLIO 1 - 1.50% p.a. for the Class A shares and Class AE shares - 1.00% p.a. for the Class B shares SANTANDER ACTIVE PORTFOLIO 2 - 1.50% p.a. for the Class A shares and Class AE shares - 1.00% p.a. for the Class B shares SANTANDER CORPORATE COUPON - 1.75% p.a. for the Class AD shares - 1.25% p.a. for the Class CD shares and Class CDE shares SANTANDER SELECT DEFENSIVE - 1.25% p.a. for the Class A shares - 1.25% p.a. for the Class AUH shares SANTANDER SELECT MODERATE - 1.50% p.a. for the Class A shares - 1.50% p.a. for the Class AUH shares SANTANDER SELECT DYNAMIC - 1.75% p.a. for the Class A shares - 1.75% p.a. for the Class AUH shares SANTANDER MULTI INDEX SUBSTANCE - 0.95% p.a. for the Class A shares



232

SANTANDER MULTI INDEX BALANCE - 0.95% p.a. for the Class A shares SANTANDER MULTI INDEX AMBITION - 0.95% p.a. for the Class A shares SANTANDER SELECT INCOME - 1.50% p.a. for the Class AD shares - 0.23% p.a. for the Class MD shares SANTANDER SELECT TOTAL RETURN (merged with effective date as of January 18, 2021) - 1.25% p.a. for the Class A shares (the last NAV was calculated on January 18, 2021) SANTANDER GO ABSOLUTE RETURN - 1.50% p.a. for the Class A shares - 1.00% p.a. for the Class B shares - 1.00% p.a. for the Class BUH shares - 0.55% p.a. for the Class I shares - 0.40% p.a. for the Class M shares - 0.60% p.a. for the Class RKP shares SANTANDER GO GLOBAL EQUITY ESG - 1.60% p.a. for Class A shares - 1.60% p.a. for Class AE shares - 1.20% p.a. for Class B shares - 1.20% p.a. for Class BE shares - 1.20% p.a. for Class BEH shares - 0.60% p.a. for Class I shares - 0.45% p.a. (0.60% until August 31, 2021) for Class IKP shares - 0.45% p.a. for Class M shares - 0.60% p.a. for Class RKP shares - 0.60% p.a. for Class SE shares - 0.45% p.a. for Class V shares SANTANDER COVERED BOND - 0.35% p.a. for Class B shares - up to 0.10% p.a. for the Class I shares SANTANDER GO DYNAMIC BOND - 1.60% p.a. for Class A shares - 1.25% p.a. for Class B shares - 1.25% p.a. for Class BEH shares - 0.60% p.a. for Class I shares - 0.60% p.a. for Class IEH shares - 0.42% p.a. for Class M shares and Class MEH shares - 0.60% p.a. for Class RKP shares SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND (launched on February 22, 2021) - 1.20% p.a. for Class A shares - 0.50% p.a. for Class I shares



233

SANTANDER FUTURE WEALTH (launched on January 26, 2021) - 1.35% p.a. for Class A shares, Class AE shares and Class APH shares - 1.35% p.a. for Class AEH shares - 0.03% p.a. for Class M shares - 0.03% p.a. for Class RKP shares - 0.23% p.a. for Class V shares - 0.23% p.a. for Class X shares and Class XE shares Note 6 - Taxes and expenses payable

SANTANDER GO SHORT

DURATION DOLLAR

USD

SANTANDER LATIN

AMERICAN CORPORATE

BOND

USD

SANTANDER GO NORTH

AMERICAN EQUITY

USD

Depositary fees (note 7) Administration fees (note 7) Annual tax (note 8) Management fees (note 5) Audit and legal fees Other fees

5,207.48 70,075.96

120,430.18 328,738.41

15,507.86 32,794.83

572,754.72

26,242.34 103,671.31

19,917.80 292,875.03

17,572.61 70,445.93

530,725.02

- 116,935.35

92,452.75 1,097,963.27

1,957.79 96,525.86

1,405,835.02

SANTANDER EUROPEAN

DIVIDEND

EUR

SANTANDER AM LATIN


USD

SANTANDER AM EURO

CORPORATE BOND

EUR


7,708.69 28,857.89 11,836.78

139,068.44 15,018.77 84,488.70

286,979.27

1,574.17 20,186.64 4,399.45

21,547.12 4,607.33

15,500.49

67,815.20

5,291.87 19,494.01 4,689.22

35,711.33 8,728.42

52,738.57

126,653.42


EUR

SANTANDER AM LATIN

AMERICAN EQUITY

OPPORTUNITIES

USD

SANTANDER ACTIVE

PORTFOLIO 1

USD


77,142.53 54,059.73 21,734.31

139,615.18 19,224.53

273,220.23

584,996.51

8,039.38 27,089.89 2,251.74

26,047.96 5,591.56

63,547.99

132,568.52

4,096.80 24,684.15 8,361.20

65,782.29 10,821.05 23,052.04

136,797.53



234

SANTANDER ACTIVE

PORTFOLIO 2

USD

SANTANDER CORPORATE

COUPON

USD

SANTANDER SELECT

DEFENSIVE

EUR


1,468.59 23,796.09 4,090.27

29,413.23 7,221.56

17,214.35

83,204.09

1,174.05 23,342.46 9,662.85

81,384.19 6,960.17

10,764.64

133,288.36

32,379.42 86,409.90 39,731.49

336,232.70 6,994.27

63,235.61

564,983.39

SANTANDER

SELECT MODERATE

EUR

SANTANDER SELECT

DYNAMIC

EUR


SUBSTANCE

EUR


7,976.99 59,112.21 30,184.11

304,475.37 6,994.31

35,985.81

444,728.80

6,043.99 35,891.39 16,226.07

189,272.75 6,229.94

44,185.97

297,850.11

2,873.69 7,734.79 8,600.63

55,071.76 7,821.87

48,746.34

130,849.08

SANTANDER

MULTI INDEX BALANCE

EUR


AMBITION

EUR


EUR


3,232.90 16,830.78 11,504.53 72,436.34 7,860.20

48,861.94

160,726.69

875.65 14,591.63 4,486.89

28,115.41 7,717.58

52,776.21

108,563.37

18,910.83 90,360.85 53,513.02

523,927.22 2,844.03

69,135.14

758,691.09

SANTANDER GO

ABSOLUTE RETURN

EUR


ESG

USD


EUR


119,547.42 11,451.15 22,684.01

220,765.68 3,364.70

67,062.50

444,875.46

15,911.55 5,721.08

40,090.21 395,334.21

2,543.63 21,122.85

480,723.53

2,342.72 14,590.82

579.86 2,304.73 7,274.96

40,142.53

67,235.62



235


USD

SANTANDER LATIN

AMERICAN INVESTMENT

GRADE ESG BOND

USD

SANTANDER FUTURE

WEALTH

USD


109,187.49 54,662.32 14,677.99

158,391.01 2,546.95

11,507.28

350,973.04

1,648.58 27,491.19

812.42 6,835.81 2,498.90 7,545.48

46,832.38

5,233.24 17,228.10 17,681.45

150,826.87 1,959.16

13,453.48

206,382.30

Note 7 - Depositary and Administration fees In its capacity as Depositary, Administrative, Corporate and Domiciliary Agent, J.P. MORGAN BANK LUXEMBOURG S.A. is entitled to receive as remuneration for the services rendered to the SICAV and the Management Company an annual fee depending on the nature of the investments of the different Sub-Funds in a range from 0.05% p.a. to 0.30% p.a. of the NAV of the assets of the different Sub-Funds. Such fee is calculated and accrued daily and is paid monthly in arrears to the Depositary by the SICAV. It should be noted that a minimum annual fee for administration services (EUR 15,000) and fiduciary services (EUR 9,200) is payable by the SICAV to J.P. MORGAN BANK LUXEMBOURG S.A. in remuneration of its fund accounting, valuation and fiduciary services in case the fees rates agreed for these services (expressed in basis points per annum) do not reach the annual minima. Administration and fiduciary fees (rate expressed in basis points with an annual minimum) are calculated and accrued in the Sub-Funds on daily basis and payable to the Depositary, Administrative, Corporate and Domiciliary Agent on a monthly basis. Note 8 - Annual tax Under current law and practice, the SICAV is not liable to any Luxembourg income tax, nor are dividends paid by the SICAV liable to any Luxembourg withholding tax. However, the SICAV is liable in Luxembourg to an annual tax (hereinafter the "Subscription Tax"), payable quarterly, of 0.05% p.a. of the net assets of all classes of shares at the end of the relevant quarter; except that the Subscription Tax rate will be reduced to 0.01% p.a. in respect of the net assets attributable to such Classes of Shares which are reserved for Institutional Investors. In any event, these net assets will exclude the proportion of net assets of the respective Class of shares as of the last day of the relevant quarter represented by units or shares held in other Luxembourg undertakings for collective investment, to the extent that such units or shares have already been subject to the Subscription tax provided for by amended Law of 2010 on undertakings for collective investment, for which no Subscription tax shall be levied. No stamp duty or other tax is payable in Luxembourg on the issue of shares of the SICAV except the one required by Luxembourg law which was paid upon incorporation. Under current law and practice, no capital gains tax is payable in Luxembourg on the realised or unrealised capital appreciation of the assets of the SICAV. Note 9 - Statement of changes in portfolio A copy of the list of changes in the securities portfolio of the Sub-Funds may be obtained free of charge at the registered office of the SICAV.



236

Note 10 - Transaction fees For the year ended December 31, 2021, the SICAV incurred transaction costs which have been defined as brokerage fees, relating to purchase or sale of transferable securities, money market instruments, derivatives, or other eligible assets. The SICAV also incurred transaction costs charges by the Custodian Agent and relating to purchase and sale of transferable securities. Depositary transaction costs are recorded in the Statement of Operations and Changes in Net Assets under the caption "Other expenses" and are as follow:

Brokerage

fees Depositary

transaction costs Total

transaction costs SANTANDER GO SHORT DURATION DOLLAR USD - - - SANTANDER LATIN AMERICAN CORPORATE BOND USD - - - SANTANDER AM EUROPEAN EQUITY OPPORTUNITIES EUR - 96.96 96.96 SANTANDER GO NORTH AMERICAN EQUITY USD - - - SANTANDER EUROPEAN DIVIDEND EUR 45,917.90 788.87 46,706.77 SANTANDER AM LATIN AMERICAN FIXED INCOME USD 1,969.03 - 1,969.03 SANTANDER AM EURO CORPORATE BOND EUR 2,252.77 49.64 2,302.41 SANTANDER AM BRAZILIAN EQUITY USD - - - SANTANDER BRAZILIAN SHORT DURATION USD - - - SANTANDER AM EURO EQUITY EUR 468,594.20 9,860.89 478,455.09 SANTANDER AM LATIN AMERICAN EQUITY OPPORTUNITIES USD - - - SANTANDER ACTIVE PORTFOLIO 1 USD 20,942.24 325.64 21,267.88 SANTANDER ACTIVE PORTFOLIO 2 USD 11,818.88 179.00 11,997.88 SANTANDER CORPORATE COUPON USD 1,934.39 923.41 2,857.80 SANTANDER SELECT DEFENSIVE EUR - 19,155.29 19,155.29 SANTANDER SELECT MODERATE EUR 274.27 33,833.10 34,107.37 SANTANDER SELECT DYNAMIC EUR 449.03 11,740.67 12,189.70 SANTANDER MULTI INDEX SUBSTANCE EUR - - - SANTANDER MULTI INDEX BALANCE EUR - - - SANTANDER MULTI INDEX AMBITION EUR - - - SANTANDER SELECT INCOME EUR 8,649.60 70,483.60 79,133.20 SANTANDER SELECT TOTAL RETURN EUR - - - SANTANDER GO ABSOLUTE RETURN EUR - 311,585.20 311,585.20 SANTANDER GO GLOBAL EQUITY ESG USD - - - SANTANDER COVERED BOND EUR 650.87 519.14 1,170.01 SANTANDER GO DYNAMIC BOND USD - 5,685.30 5,685.30 SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND USD - - - SANTANDER FUTURE WEALTH USD 1,490.40 2,441.85 3,932.25

For fixed income securities, transaction costs are not separately recognisable from the purchase price of the security and therefore cannot be disclosed separately. The commission on derivatives are included directly in the transaction price.



237

Note 11 - Forward foreign exchange contracts As at December 31, 2021, SANTANDER LATIN AMERICAN CORPORATE BOND has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain USD

Counterparty

BRL 43,388,526.49 USD (7,603,218.46) 31/01/2022 134,375.96 JPMorgan Chase & Co. EUR 11,849.04 USD (13,427.07) 31/01/2022 55.16 JPMorgan Chase & Co.

Total 134,431.12

Amount bought

Amount sold

Maturity

Unrealised (loss) USD

Counterparty

USD 24,000.00 BRL (137,339.04) 31/01/2022 (492.05) JPMorgan Chase & Co.

USD 11,000.00 BRL (63,307.53) 31/01/2022 (289.80) JPMorgan Chase & Co. Total (781.85)

As at December 31, 2021, SANTANDER GO NORTH AMERICAN EQUITY has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain USD

Counterparty

BRL 454,492,441.12 USD (79,643,297.43) 31/01/2022 1,407,580.82 JPMorgan Chase & Co. EUR 82,083,028.33 USD (93,014,681.88) 31/01/2022 382,117.35 JPMorgan Chase & Co. BRL 20,983,689.47 USD (3,647,814.73) 31/01/2022 94,263.92 JPMorgan Chase & Co. EUR 4,043,804.21 USD (4,575,715.70) 31/01/2022 25,459.20 JPMorgan Chase & Co. EUR 676,000.51 USD (765,136.65) 31/01/2022 4,039.21 JPMorgan Chase & Co. EUR 99,784.56 USD (113,036.32) 31/01/2022 501.87 JPMorgan Chase & Co. EUR 59,555.62 USD (67,302.81) 31/01/2022 461.55 JPMorgan Chase & Co. EUR 47,277.94 USD (53,525.83) 31/01/2022 268.58 JPMorgan Chase & Co. EUR 66,650.00 USD (75,694.15) 31/01/2022 142.44 JPMorgan Chase & Co.

Total 1,914,834.94

Amount bought

Amount sold

Maturity


Counterparty

USD 6,058,000.00 BRL (34,990,402.20) 31/01/2022 (181,933.98) JPMorgan Chase & Co.

USD 2,978,193.86 BRL (17,162,437.74) 31/01/2022 (82,430.53) JPMorgan Chase & Co. USD 3,666,857.43 EUR (3,239,114.54) 31/01/2022 (18,714.81) JPMorgan Chase & Co. USD 2,052,492.31 EUR (1,810,997.11) 31/01/2022 (8,120.42) JPMorgan Chase & Co. USD 167,000.00 BRL (962,143.78) 31/01/2022 (4,581.73) JPMorgan Chase & Co. USD 136,000.00 BRL (787,835.76) 31/01/2022 (4,496.90) JPMorgan Chase & Co. USD 112,000.00 BRL (644,585.76) 31/01/2022 (2,950.74) JPMorgan Chase & Co. USD 158,000.00 BRL (896,337.16) 31/01/2022 (1,846.25) JPMorgan Chase & Co. USD 159,175.09 EUR (141,033.56) 31/01/2022 (1,297.58) JPMorgan Chase & Co. USD 126,300.45 EUR (112,037.07) 31/01/2022 (1,179.05) JPMorgan Chase & Co. USD 133,162.90 EUR (117,457.95) 31/01/2022 (484.66) JPMorgan Chase & Co. USD 14,659.78 EUR (12,966.93) 31/01/2022 (94.42) JPMorgan Chase & Co.

Total (308,131.07)

As at December 31, 2021, SANTANDER EUROPEAN DIVIDEND has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised (loss) EUR

Counterparty

USD 42,130.32 EUR (37,178.91) 31/01/2022 (152.11) JPMorgan Chase & Co. Total (152.11)



238

As at December 31, 2021, SANTANDER SELECT DEFENSIVE has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity


Counterparty

USD 2,247,453.35 EUR (1,983,318.90) 31/01/2022 (8,114.36) JPMorgan Chase & Co. Total (8,114.36)

As at December 31, 2021, SANTANDER SELECT MODERATE has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain EUR

Counterparty

EUR 118,686.71 USD (134,125.86) 31/01/2022 808.40 JPMorgan Chase & Co. Total 808.40

Amount bought

Amount sold

Maturity


Counterparty

USD 4,314,368.61 EUR (3,807,317.66) 31/01/2022 (15,576.90) JPMorgan Chase & Co. Total (15,576.90)

As at December 31, 2021, SANTANDER SELECT DYNAMIC has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity


Counterparty

USD 2,445,392.08 EUR (2,157,994.67) 31/01/2022 (8,829.02) JPMorgan Chase & Co.

USD 72,559.83 EUR (64,179.48) 31/01/2022 (409.30) JPMorgan Chase & Co. Total (9,238.32)

As at December 31, 2021, SANTANDER GO ABSOLUTE RETURN has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain EUR

Counterparty

EUR 15,927,279.58 USD (18,000,000.00) 18/01/2022 103,414.40 J.P. Morgan Frankfurt USD 2,215,000.00 CLP (1,793,004,624.00) 18/01/2022 100,418.27 Royal Bank of Canada London USD 1,200,000.00 COP (4,552,800,000.00) 18/01/2022 73,243.92 Goldman Sachs AG USD 1,980,000.00 CLP (1,638,866,988.00) 18/01/2022 52,590.82 Citigroup Global Markets Europe AG NOK 40,575,000.00 EUR (3,997,772.48) 18/01/2022 46,113.90 BOFA Securities Europe S.A. GBP 2,050,000.00 EUR (2,402,220.82) 18/01/2022 38,640.69 Société Générale Paris CHF 6,640,000.00 EUR (6,370,245.58) 18/01/2022 38,576.20 UBS Europe SE NOK 18,328,697.70 SEK (18,400,000.00) 15/03/2022 37,178.13 Deutsche Bank AG BRL 6,957,019.63 USD (1,210,000.00) 18/01/2022 30,750.52 Royal Bank of Canada London CZK 46,000,000.00 EUR (1,818,964.98) 18/01/2022 29,212.73 Société Générale Paris USD 700,000.00 CLP (569,170,000.00) 18/01/2022 29,126.96 Deutsche Bank AG

MXN 28,500,000.00 USD (1,357,093.87) 18/01/2022 28,272.27 HSBC France GBP 1,655,000.00 EUR (1,942,494.42) 18/01/2022 28,054.75 J.P. Morgan Frankfurt INR 188,837,500.00 USD (2,500,000.00) 18/01/2022 27,907.14 HSBC France

USD 1,300,000.00 COP (5,177,250,000.00) 18/01/2022 26,509.59 BOFA Securities Europe S.A. NZD 4,278,202.35 USD (2,900,000.00) 18/01/2022 25,121.64 Goldman Sachs AG EUR 4,988,700.26 SEK (51,125,000.00) 18/01/2022 24,035.69 HSBC France USD 1,550,000.00 KRW (1,813,562,000.00) 18/01/2022 24,000.21 Citigroup Global Markets Europe AG EGP 16,266,930.00 USD (1,005,000.00) 18/01/2022 23,994.30 Goldman Sachs AG EUR 4,561,787.14 HUF (1,675,580,000.00) 18/01/2022 23,103.66 Credit Lyonnais London CNH 65,565,000.00 USD (10,275,342.83) 18/01/2022 23,091.85 Morgan Stanley Bank AG IDR 18,145,200,000.00 USD (1,250,000.00) 18/01/2022 22,065.00 HSBC France

USD 500,000.00 COP (1,941,780,000.00) 18/01/2022 20,862.78 HSBC France IDR 22,745,023,875.00 USD (1,575,000.00) 18/01/2022 20,516.73 Société Générale Paris

USD 490,000.00 COP (1,907,011,400.00) 18/01/2022 19,568.59 Goldman Sachs AG USD 800,000.00 PHP (39,964,800.00) 18/01/2022 19,329.11 Citigroup Global Markets Europe AG



239

Amount bought

Amount sold

Maturity

Unrealised gain EUR

Counterparty

BRL 4,356,623.24 USD (760,000.00) 18/01/2022 17,257.44 BOFA Securities Europe S.A. GBP 1,470,000.00 EUR (1,733,349.53) 18/01/2022 16,926.77 Société Générale Paris NZD 3,590,000.00 EUR (2,143,612.48) 18/01/2022 16,765.58 Morgan Stanley Europe SE TRY 6,900,000.00 EUR (435,881.24) 18/01/2022 15,648.11 UBS Europe SE AUD 1,359,640.66 NZD (1,420,000.00) 15/03/2022 15,440.85 Goldman Sachs AG USD 3,885,000.00 PHP (198,696,382.50) 18/01/2022 14,846.57 Société Générale Paris JPY 144,000,000 EUR (1,081,908.19) 15/11/2022 14,118.84 Deutsche Bank AG

USD 2,770,000.00 KRW (3,280,194,444.00) 18/01/2022 13,968.81 BNP Paribas S.A. MXN 18,000,000.00 USD (861,670.73) 18/01/2022 13,848.50 Deutsche Bank AG USD 1,734,568.83 ZAR (27,500,000.00) 18/01/2022 13,144.22 Citigroup Global Markets Europe AG TRY 6,200,000.00 USD (447,046.61) 18/01/2022 12,721.74 UBS Europe SE USD 420,000.00 CLP (346,374,000.00) 18/01/2022 12,458.01 Morgan Stanley Europe SE CHF 2,500,000.00 EUR (2,400,629.08) 18/01/2022 12,330.93 HSBC France BRL 3,766,387.02 USD (660,000.00) 18/01/2022 12,312.89 Royal Bank of Canada London CZK 22,500,000.00 EUR (891,710.23) 18/01/2022 12,289.74 Société Générale Paris INR 209,113,290.00 USD (2,790,000.00) 18/01/2022 11,940.50 Goldman Sachs AG GBP 870,000.00 EUR (1,024,026.00) 18/01/2022 11,851.81 Deutsche Bank AG USD 1,220,000.00 PHP (61,997,960.00) 18/01/2022 11,479.23 Goldman Sachs AG SGD 1,370,000.00 USD (1,003,701.24) 18/01/2022 10,915.38 UBS Europe SE CHF 3,280,000.00 EUR (3,155,534.36) 18/01/2022 10,269.17 Morgan Stanley Europe SE AUD 3,583,694.25 NZD (3,790,000.00) 18/01/2022 9,886.61 Goldman Sachs AG USD 830,000.00 CLP (698,942,751.00) 18/01/2022 9,744.40 Royal Bank of Canada London

MXN 11,500,000.00 USD (549,821.74) 18/01/2022 9,454.34 HSBC France USD 710,000.00 CLP (597,501,068.00) 18/01/2022 8,736.98 Royal Bank of Canada London NOK 7,200,000.00 EUR (709,456.18) 18/01/2022 8,128.09 Morgan Stanley Europe SE CZK 21,000,000.00 EUR (836,654.25) 18/01/2022 7,079.05 Société Générale Paris USD 450,000.00 PHP (22,727,700.00) 18/01/2022 6,636.93 Deutsche Bank AG NZD 4,570,000.00 EUR (2,743,883.84) 18/01/2022 6,235.30 Goldman Sachs AG IDR 10,346,184,000.00 USD (720,000.00) 18/01/2022 6,195.05 HSBC France

USD 2,500,000.00 TWD (69,088,192.50) 18/01/2022 5,834.70 UBS Europe SE USD 440,000.00 CLP (369,914,072.00) 18/01/2022 5,793.79 Royal Bank of Canada London USD 1,542,138.95 CAD (1,940,000.00) 15/03/2022 5,774.23 BNP Paribas S.A. NOK 5,500,000.00 EUR (542,859.86) 18/01/2022 5,294.79 Morgan Stanley Europe SE IDR 10,615,418,400.00 USD (740,000.00) 18/01/2022 5,245.30 BNP Paribas S.A.

SGD 1,030,000.00 EUR (666,510.93) 18/01/2022 5,073.71 Citigroup Global Markets Europe AG USD 890,000.00 AUD (1,216,137.41) 15/03/2022 4,953.59 BNP Paribas S.A. USD 660,000.00 COP (2,671,600,800.00) 18/01/2022 4,154.48 J.P. Morgan Frankfurt USD 404,278.32 JPY (46,000,000) 15/03/2022 4,027.45 Goldman Sachs AG IDR 7,887,000,000.00 USD (550,000.00) 18/01/2022 3,723.21 Goldman Sachs AG IDR 5,894,570,000.00 USD (410,000.00) 18/01/2022 3,712.64 Goldman Sachs AG

NOK 12,500,000.00 EUR (1,242,487.55) 18/01/2022 3,318.48 UBS Europe SE KRW 2,338,634,250.00 USD (1,960,000.00) 18/01/2022 3,129.00 Goldman Sachs AG EUR 462,989.35 SEK (4,736,000.00) 18/01/2022 3,084.19 J.P. Morgan Frankfurt IDR 10,722,000,000.00 USD (750,000.00) 18/01/2022 3,038.48 J.P. Morgan Frankfurt

NZD 735,468.25 USD (500,000.00) 18/01/2022 3,035.79 Morgan Stanley Europe SE USD 500,000.00 PHP (25,508,000.00) 18/01/2022 3,010.32 Goldman Sachs AG AUD 692,319.41 USD (500,000.00) 18/01/2022 2,963.81 BOFA Securities Europe S.A. USD 720,000.00 KRW (853,603,322.00) 18/01/2022 2,900.45 Goldman Sachs AG IDR 17,121,960,000.00 USD (1,200,000.00) 18/01/2022 2,808.13 Credit Lyonnais London

CNH 7,000,000.00 USD (1,096,969.00) 18/01/2022 2,527.43 Goldman Sachs AG CAD 4,565,000.00 EUR (3,174,726.81) 18/01/2022 2,292.46 BOFA Securities Europe S.A. CHF 500,000.00 EUR (480,344.82) 18/01/2022 2,247.18 Société Générale Paris INR 128,478,840.00 USD (1,720,000.00) 18/01/2022 2,212.03 HSBC France IDR 6,720,389,000.00 USD (470,000.00) 18/01/2022 1,982.51 HSBC France

USD 390,000.00 KRW (462,009,467.00) 18/01/2022 1,836.05 BNP Paribas S.A. USD 252,208.13 ZAR (4,000,000.00) 18/01/2022 1,830.31 Royal Bank of Canada London THB 20,000,000.00 USD (596,580.40) 18/01/2022 1,819.53 UBS Europe SE SEK 15,600,000.00 EUR (1,513,079.35) 18/01/2022 1,810.96 Morgan Stanley Europe SE CAD 2,430,000.00 EUR (1,689,800.01) 18/01/2022 1,362.49 Royal Bank of Canada London SEK 8,700,000.00 EUR (843,574.73) 18/01/2022 1,267.95 Morgan Stanley Europe SE IDR 10,687,800,000.00 USD (750,000.00) 18/01/2022 925.73 HSBC France INR 235,021,500.00 USD (3,150,000.00) 18/01/2022 821.11 HSBC France

USD 400,880.31 ZAR (6,400,000.00) 18/01/2022 596.50 Deutsche Bank AG DKK 43,670,000.00 EUR (5,871,170.99) 18/01/2022 466.83 Deutsche Bank AG TWD 13,868,684.00 USD (500,000.00) 18/01/2022 452.55 UBS Europe SE BRL 1,399,251.05 USD (250,000.00) 18/01/2022 351.77 BNP Paribas S.A.

TWD 26,054,920.00 USD (940,000.00) 18/01/2022 273.19 State Street Bank International USD 853,349.62 THB (28,500,000.00) 18/01/2022 240.13 Deutsche Bank AG INR 52,229,590.00 USD (700,000.00) 18/01/2022 213.00 BNP Paribas S.A.

USD 410,000.00 TWD (11,355,114.00) 18/01/2022 174.81 Citigroup Global Markets Europe AG TWD 11,641,182.84 USD (420,000.00) 18/01/2022 110.10 UBS Europe SE

Total 1,385,022.85



240

Amount bought

Amount sold

Maturity


Counterparty

USD 874,200.43 TRY (16,400,000.00) 18/01/2022 (304,687.44) Citigroup Global Markets Europe AG

USD 3,416,742.49 TRY (50,280,000.00) 18/01/2022 (286,604.07) HSBC France EUR 16,078,289.30 GBP (13,700,000.00) 18/01/2022 (233,809.55) J.P. Morgan Frankfurt USD 59,656,088.45 EUR (52,644,940.56) 31/01/2022 (215,386.57) JPMorgan Chase & Co. JPY 1,229,610,000 EUR (9,591,548.90) 18/01/2022 (203,605.64) Goldman Sachs AG

USD 5,530,397.33 MXN (116,275,000.00) 18/01/2022 (120,890.90) J.P. Morgan Frankfurt CLP 1,602,050,400.00 USD (2,010,000.00) 18/01/2022 (116,885.04) Société Générale Paris USD 7,740,249.22 SGD (10,590,000.00) 18/01/2022 (100,452.20) UBS Europe SE USD 493,902.44 TRY (8,100,000.00) 18/01/2022 (95,864.78) Morgan Stanley Europe SE TRY 8,400,000.00 EUR (636,363.64) 18/01/2022 (86,675.73) Morgan Stanley Bank AG CLP 845,880,000.00 USD (1,060,000.00) 18/01/2022 (60,592.74) HSBC France RUB 301,195,000.00 USD (4,072,337.93) 18/01/2022 (58,141.10) Credit Lyonnais London USD 585,028.80 TRY (8,600,000.00) 18/01/2022 (48,474.77) Citigroup Global Markets Europe AG USD 2,760,000.00 INR (209,840,868.00) 18/01/2022 (46,888.95) Citigroup Global Markets Europe AG USD 3,400,000.00 NZD (5,041,638.00) 18/01/2022 (44,987.55) Morgan Stanley Europe SE USD 2,617,806.00 ILS (8,300,000.00) 18/01/2022 (43,141.47) BNP Paribas S.A. CLP 737,138,220.00 USD (910,000.00) 18/01/2022 (40,731.31) HSBC France COP 2,645,726,000.00 USD (695,000.00) 18/01/2022 (40,502.27) BOFA Securities Europe S.A. SEK 23,900,000.00 NOK (23,614,356.03) 18/01/2022 (32,622.92) Deutsche Bank AG USD 2,360,000.00 INR (178,765,280.00) 18/01/2022 (32,268.99) HSBC France TRY 3,000,000.00 EUR (226,757.37) 18/01/2022 (30,440.26) Morgan Stanley Bank AG COP 1,783,635,900.00 USD (470,000.00) 18/01/2022 (28,588.90) J.P. Morgan Frankfurt

EUR 1,345,512.60 CZK (34,190,000.00) 18/01/2022 (28,165.57) UBS Europe SE USD 1,460,000.00 CLP (1,273,006,558.00) 18/01/2022 (27,706.52) Royal Bank of Canada London USD 3,410,000.00 EUR (3,022,772.83) 18/01/2022 (25,029.48) State Street Bank International TRY 5,700,000.00 EUR (396,935.93) 18/01/2022 (23,933.42) Morgan Stanley Bank AG USD 1,510,000.00 IDR (21,864,482,900.00) 18/01/2022 (23,261.84) BNP Paribas S.A. USD 2,757,271.19 THB (93,000,000.00) 18/01/2022 (23,254.06) Deutsche Bank AG TRY 2,100,000.00 USD (182,753.72) 18/01/2022 (23,237.48) J.P. Morgan Frankfurt PHP 49,507,920.00 USD (990,000.00) 18/01/2022 (23,038.74) Morgan Stanley Europe SE COP 4,054,500,000.00 USD (1,020,000.00) 18/01/2022 (22,449.33) BOFA Securities Europe S.A. USD 2,151,161.00 INR (162,294,341.65) 18/01/2022 (21,731.25) Citigroup Global Markets Europe AG EUR 1,562,026.36 GBP (1,330,000.00) 18/01/2022 (21,556.96) HSBC France USD 1,548,839.00 INR (117,324,554.25) 18/01/2022 (21,214.26) Citigroup Global Markets Europe AG EUR 983,336.77 CZK (25,000,000.00) 18/01/2022 (21,107.64) Deutsche Bank AG TRY 6,900,000.00 EUR (472,602.74) 18/01/2022 (21,073.39) Morgan Stanley Bank AG EUR 2,253,076.52 PLN (10,435,000.00) 18/01/2022 (20,941.37) HSBC France CLP 364,150,530.00 USD (450,000.00) 18/01/2022 (20,521.28) Royal Bank of Canada London EUR 1,900,000.00 BRL (12,207,458.96) 18/01/2022 (20,455.64) HSBC France USD 1,200,000.00 BRL (6,834,408.00) 18/01/2022 (20,252.51) HSBC France TRY 5,700,000.00 EUR (392,426.85) 18/01/2022 (19,424.34) Morgan Stanley Bank AG NZD 3,770,000.00 AUD (3,577,420.65) 18/01/2022 (17,912.19) Goldman Sachs AG PHP 66,331,850.00 USD (1,310,000.00) 18/01/2022 (16,428.76) Goldman Sachs AG CLP 402,430,875.00 USD (490,000.00) 18/01/2022 (16,256.64) Royal Bank of Canada London USD 970,000.00 INR (73,715,926.00) 18/01/2022 (16,096.10) BNP Paribas S.A. USD 500,000.00 AUD (711,558.41) 18/01/2022 (15,260.96) UBS Europe SE RUB 81,000,000.00 USD (1,094,712.79) 18/01/2022 (15,234.92) Citigroup Global Markets Europe AG EUR 668,148.65 CZK (17,000,000.00) 18/01/2022 (14,873.55) UBS Europe SE USD 3,467,140.76 ZAR (55,715,000.00) 18/01/2022 (14,771.81) Morgan Stanley Europe SE USD 1,699,635.06 EUR (1,507,691.60) 31/01/2022 (13,944.52) JPMorgan Chase & Co. BRL 4,973,183.15 USD (905,000.00) 18/01/2022 (13,216.49) Citigroup Global Markets Europe AG USD 960,000.00 IDR (13,870,185,600.00) 18/01/2022 (12,910.19) BNP Paribas S.A. USD 1,005,000.00 EGP (16,067,940.00) 18/01/2022 (12,893.12) Citigroup Global Markets Europe AG USD 1,400,000.00 TWD (39,197,200.00) 18/01/2022 (12,843.66) State Street Bank International USD 960,000.00 IDR (13,858,752,000.00) 18/01/2022 (12,203.86) HSBC France USD 700,000.00 INR (53,245,010.00) 18/01/2022 (12,180.89) BNP Paribas S.A. USD 550,000.00 INR (42,020,550.00) 18/01/2022 (11,753.31) BOFA Securities Europe S.A. USD 1,270,000.00 INR (95,722,440.00) 18/01/2022 (11,736.98) Deutsche Bank AG PHP 25,005,550.00 USD (500,000.00) 18/01/2022 (11,609.20) HSBC France USD 3,207,000.00 EUR (2,830,408.99) 18/01/2022 (11,123.68) HSBC France CLP 279,597,232.00 USD (340,000.00) 18/01/2022 (10,909.85) UBS Europe SE USD 450,000.00 BRL (2,583,310.95) 18/01/2022 (10,805.23) Royal Bank of Canada London PHP 32,763,250.00 USD (650,000.00) 18/01/2022 (10,710.20) Morgan Stanley Europe SE PHP 27,669,950.00 USD (550,000.00) 18/01/2022 (9,966.10) Goldman Sachs AG COP 1,749,000,000.00 USD (440,000.00) 18/01/2022 (9,684.02) Morgan Stanley Europe SE USD 1,780,000.00 BRL (10,002,710.00) 18/01/2022 (8,804.02) Société Générale Paris



241

Amount bought

Amount sold

Maturity


Counterparty

PHP 22,641,300.00 USD (450,000.00) 18/01/2022 (8,115.57) Goldman Sachs AG

ILS 7,185,000.00 USD (2,317,827.17) 18/01/2022 (8,095.17) UBS Europe SE USD 600,000.00 BRL (3,402,690.00) 18/01/2022 (7,842.94) HSBC France EUR 549,014.66 CAD (800,000.00) 18/01/2022 (7,746.66) Royal Bank of Canada London USD 230,000.00 BRL (1,333,839.23) 18/01/2022 (7,643.38) Royal Bank of Canada London USD 490,000.00 IDR (7,095,405,800.00) 18/01/2022 (7,567.62) HSBC France USD 860,000.00 TWD (24,063,660.00) 18/01/2022 (7,425.84) HSBC France BRL 2,747,407.40 USD (500,000.00) 18/01/2022 (7,334.59) BNP Paribas S.A. COP 1,802,430,000.00 USD (450,000.00) 18/01/2022 (6,954.42) BOFA Securities Europe S.A. ZAR 4,200,000.00 USD (269,937.99) 18/01/2022 (6,422.35) Deutsche Bank AG USD 600,000.00 GBP (448,324.01) 15/03/2022 (6,185.43) BNP Paribas S.A.

TWD 54,119,324.00 USD (1,960,000.00) 18/01/2022 (6,028.08) HSBC France KRW 1,148,150,287.00 USD (970,000.00) 18/01/2022 (5,267.94) Goldman Sachs AG BRL 2,761,615.50 USD (500,000.00) 18/01/2022 (5,099.39) Royal Bank of Canada London

KRW 612,593,025.00 USD (520,000.00) 18/01/2022 (4,972.11) Goldman Sachs AG EUR 474,593.13 AUD (750,000.00) 18/01/2022 (4,790.68) Goldman Sachs AG USD 390,000.00 IDR (5,624,459,100.00) 18/01/2022 (4,608.24) HSBC France USD 350,806.42 SGD (480,000.00) 18/01/2022 (4,576.29) Deutsche Bank AG PHP 17,214,540.00 USD (340,000.00) 18/01/2022 (4,287.23) Goldman Sachs AG

TWD 78,146,251.75 USD (2,825,000.00) 18/01/2022 (4,163.15) Royal Bank of Canada London EUR 2,451,611.89 RON (12,170,000.00) 18/01/2022 (4,137.98) HSBC France TRY 6,500,000.00 EUR (429,468.12) 18/01/2022 (4,114.38) Morgan Stanley Bank AG USD 510,000.00 TWD (14,256,540.00) 18/01/2022 (3,966.82) Credit Lyonnais London USD 1,503,000.00 EUR (1,324,876.92) 18/01/2022 (3,584.18) UBS Europe SE USD 706,758.58 EUR (624,423.31) 31/01/2022 (3,279.05) JPMorgan Chase & Co.

KRW 531,675,000.00 USD (450,000.00) 18/01/2022 (3,161.36) HSBC France EUR 958,262.66 CHF (996,000.00) 18/01/2022 (3,060.61) UBS Europe SE

PHP 31,157,580.00 USD (610,000.00) 18/01/2022 (3,025.35) Goldman Sachs AG EUR 478,713.41 NZD (800,000.00) 18/01/2022 (2,707.88) Morgan Stanley Europe SE

TWD 24,301,464.00 USD (880,000.00) 18/01/2022 (2,611.56) HSBC France USD 300,000.00 IDR (4,304,730,000.00) 18/01/2022 (2,199.49) Credit Lyonnais London USD 540,000.00 TWD (15,024,201.84) 18/01/2022 (1,948.90) BNP Paribas S.A. USD 500,000.00 TWD (13,909,600.00) 18/01/2022 (1,750.67) BNP Paribas S.A. USD 5,581,181.47 HKD (43,525,000.00) 18/01/2022 (1,516.88) UBS Europe SE USD 340,000.00 KRW (406,976,600.00) 18/01/2022 (1,498.75) HSBC France EUR 886,405.34 RON (4,400,000.00) 18/01/2022 (1,458.21) BNP Paribas S.A. BRL 2,784,910.30 USD (500,000.00) 18/01/2022 (1,434.70) BNP Paribas S.A.

KRW 498,305,430.00 USD (420,000.00) 18/01/2022 (1,418.71) UBS Europe SE USD 187,767.64 EUR (166,367.36) 31/01/2022 (1,345.25) JPMorgan Chase & Co.

TWD 11,043,600.00 USD (400,000.00) 18/01/2022 (1,267.02) Credit Lyonnais London USD 210,000.00 BRL (1,181,300.40) 18/01/2022 (1,228.31) HSBC France USD 190,684.10 EUR (168,734.57) 31/01/2022 (1,149.29) JPMorgan Chase & Co. RUB 7,000,000.00 USD (94,378.80) 18/01/2022 (1,117.91) Deutsche Bank AG USD 350,000.00 TWD (9,728,148.50) 18/01/2022 (953.53) Royal Bank of Canada London USD 500,000.00 TWD (13,883,500.00) 18/01/2022 (922.61) HSBC France NZD 3,620,000.00 EUR (2,179,269.74) 18/01/2022 (838.38) HSBC France

KRW 344,317,290.00 USD (290,000.00) 18/01/2022 (795.61) Morgan Stanley Europe SE USD 450,000.00 BRL (2,518,900.65) 18/01/2022 (672.32) BOFA Securities Europe S.A. USD 450,000.00 KRW (536,719,500.00) 18/01/2022 (562.04) HSBC France

TWD 12,452,175.00 USD (450,000.00) 18/01/2022 (533.09) BNP Paribas S.A. USD 78,034.74 EUR (68,853.21) 31/01/2022 (271.33) JPMorgan Chase & Co. USD 1,251,365.38 THB (41,815,000.00) 18/01/2022 (230.69) Credit Lyonnais London USD 940,000.00 TWD (26,050,066.78) 18/01/2022 (119.22) UBS Europe SE USD 294,923.04 HKD (2,300,000.00) 18/01/2022 (84.04) Société Générale Paris USD 25,000.00 EUR (22,012.93) 31/01/2022 (41.34) JPMorgan Chase & Co. INR 52,955,634.00 USD (710,000.00) 18/01/2022 (20.78) BNP Paribas S.A.

Total (3,208,883.80)



242

As at December 31, 2021, SANTANDER GO GLOBAL EQUITY ESG has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain USD

Counterparty

BRL 848,646,034.95 USD (148,713,075.20) 31/01/2022 2,628,289.87 JPMorgan Chase & Co. EUR 21,946,822.49 USD (24,869,656.42) 31/01/2022 102,168.03 JPMorgan Chase & Co. BRL 23,081,030.19 USD (4,054,567.37) 31/01/2022 61,535.78 JPMorgan Chase & Co. BRL 2,635,895.34 USD (458,000.00) 31/01/2022 12,066.41 JPMorgan Chase & Co. BRL 2,901,287.22 USD (507,000.00) 31/01/2022 10,394.47 JPMorgan Chase & Co. BRL 4,277,457.08 USD (754,000.00) 31/01/2022 8,810.60 JPMorgan Chase & Co. BRL 1,587,908.20 USD (278,000.00) 31/01/2022 5,176.01 JPMorgan Chase & Co. EUR 782,785.92 USD (887,252.85) 31/01/2022 3,427.00 JPMorgan Chase & Co. EUR 321,120.78 USD (363,427.58) 31/01/2022 1,954.32 JPMorgan Chase & Co. EUR 205,744.73 USD (232,550.74) 31/01/2022 1,552.46 JPMorgan Chase & Co. EUR 290,000.00 USD (328,422.97) 31/01/2022 1,548.67 JPMorgan Chase & Co. EUR 200,858.13 USD (227,112.20) 31/01/2022 1,430.86 JPMorgan Chase & Co. EUR 100,000.00 USD (113,341.59) 31/01/2022 441.74 JPMorgan Chase & Co. EUR 50,001.00 USD (56,578.00) 31/01/2022 314.80 JPMorgan Chase & Co. EUR 60,000.00 USD (68,012.12) 31/01/2022 257.88 JPMorgan Chase & Co. EUR 50,000.00 USD (56,667.15) 31/01/2022 224.51 JPMorgan Chase & Co.

Total 2,839,593.41

Amount bought

Amount sold

Maturity


Counterparty

USD 54,000.00 BRL (311,898.60) 31/01/2022 (1,621.73) JPMorgan Chase & Co.

USD 16,977.83 EUR (15,000.00) 31/01/2022 (89.67) JPMorgan Chase & Co. Total (1,711.40)

As at December 31, 2021, SANTANDER GO DYNAMIC BOND has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain USD

Counterparty

USD 17,993,945.04 JPY (2,000,000,000) 11/01/2022 625,145.04 Bank of America USD 27,810,438.09 EUR (24,409,000.00) 17/02/2022 127,337.02 MS (FX OPS) London USD 2,812,166.34 JPY (310,000,000) 06/01/2022 120,092.24 Goldman Sachs Bank USA USD 1,025,734.75 ZAR (15,086,000.00) 25/02/2022 88,972.61 Bank of America BRL 18,500,000.00 USD (3,258,499.40) 04/01/2022 55,753.90 BNP Paribas S.A. BRL 8,694,315.40 USD (1,512,396.79) 02/02/2022 35,281.58 Morgan Stanley & Co. BRL 9,500,000.00 USD (1,667,837.08) 04/01/2022 34,076.78 JPMorgan Chase & Co. USD 653,658.17 CLP (538,352,866.00) 02/03/2022 24,167.01 Morgan Stanley & Co. USD 1,335,000.00 COP (5,298,214,500.00) 02/02/2022 23,700.34 Morgan Stanley & Co. EUR 40,049,405.08 USD (45,383,104.75) 31/01/2022 23,395.82 JPMorgan Chase & Co. USD 1,070,829.67 CAD (1,341,023.55) 17/02/2022 22,182.15 Bank of America EUR 30,618,948.11 USD (34,696,718.38) 31/01/2022 17,886.79 JPMorgan Chase & Co. USD 329,980.00 ZAR (5,236,716.60) 16/08/2022 12,303.84 BNP Paribas S.A. USD 349,993.00 ZAR (5,579,413.41) 16/08/2022 11,527.74 BNP Paribas S.A. USD 362,295.00 ZAR (5,846,625.30) 08/11/2022 11,522.18 BNP Paribas S.A. BRL 8,694,315.40 USD (1,546,852.30) 04/01/2022 10,724.11 State Street Bank and Trust USD 336,965.00 ZAR (5,327,551.44) 16/05/2022 9,852.69 BNP Paribas S.A. USD 264,207.93 ZAR (4,240,487.08) 08/11/2022 9,796.62 Barclays London USD 330,539.00 ZAR (5,291,169.15) 16/08/2022 9,559.57 BNP Paribas S.A. USD 346,338.00 ZAR (5,556,993.21) 16/08/2022 9,232.82 BNP Paribas S.A.

MXN 11,707,000.00 USD (557,012.01) 04/03/2022 8,553.11 Bank of America CLP 1,141,715,400.00 USD (1,338,000.00) 02/02/2022 3,789.66 Morgan Stanley & Co. USD 365,717.00 RUB (27,365,478.53) 18/02/2022 3,413.64 BNP Paribas S.A. USD 232,433.00 RUB (17,293,811.28) 24/01/2022 2,129.43 BNP Paribas S.A. EUR 3,257,646.23 USD (3,691,493.04) 31/01/2022 1,903.03 JPMorgan Chase & Co. USD 132,158.00 RUB (9,819,273.32) 24/01/2022 1,393.67 Bank of America EUR 200,000.00 USD (225,461.90) 31/01/2022 1,290.53 JPMorgan Chase & Co. GBP 205,000.00 USD (276,322.62) 17/02/2022 317.69 BNP Paribas S.A. EUR 85,980.13 USD (97,127.45) 03/01/2022 296.64 JPMorgan Chase & Co. USD 92,606.95 PEN (372,993.00) 25/07/2022 280.84 Bank of America EUR 50,500.15 USD (57,159.00) 31/01/2022 96.16 JPMorgan Chase & Co. USD 31,811.27 EUR (28,011.14) 31/01/2022 53.30 JPMorgan Chase & Co. USD 572,776.71 EUR (505,000.00) 17/02/2022 38.54 JPMorgan Bank, N.A. New York USD 12,216.18 EUR (10,756.85) 31/01/2022 20.47 JPMorgan Chase & Co.

Total 1,306,087.56



243

Amount bought

Amount sold

Maturity


Counterparty

USD 1,965,003.20 ILS (6,437,940.00) 31/01/2022 (108,552.32) Goldman Sachs Bank USA

USD 4,931,053.31 BRL (28,000,000.00) 04/01/2022 (85,113.85) BNP Paribas S.A. COP 5,208,260,520.00 USD (1,369,013.30) 02/02/2022 (79,977.10) Goldman Sachs Bank USA USD 1,389,898.32 ILS (4,538,435.00) 31/01/2022 (71,857.60) Goldman Sachs Bank USA USD 3,271,011.95 BRL (19,000,000.00) 04/04/2022 (58,920.24) BNP Paribas S.A. USD 1,682,259.03 BRL (9,800,000.00) 04/04/2022 (35,284.94) JPMorgan Chase & Co. USD 1,522,647.18 BRL (8,694,315.40) 04/01/2022 (34,929.23) Morgan Stanley & Co. USD 6,134,173.10 GBP (4,565,000.00) 17/02/2022 (26,134.34) UBS AG Stamford, CT USD 843,326.00 CLP (732,049,134.00) 24/01/2022 (18,123.07) BNP Paribas S.A. USD 415,169.03 PEN (1,710,553.50) 18/01/2022 (13,990.45) BNP Paribas S.A. CLP 537,482,000.00 USD (640,545.82) 02/02/2022 (8,875.45) Morgan Stanley & Co. USD 562,363.40 MXN (11,707,000.00) 12/01/2022 (8,034.48) Bank of America RUB 27,759,890.06 USD (374,677.96) 18/02/2022 (7,152.81) Goldman Sachs Bank USA USD 426,649.60 GBP (320,000.00) 17/02/2022 (5,179.18) Royal Bank Of Canada, TORONTO RUB 4,560,185.77 USD (63,122.00) 24/01/2022 (2,393.51) Goldman Sachs Bank USA RUB 4,362,119.73 USD (60,435.00) 24/01/2022 (2,344.18) Goldman Sachs Bank USA USD 641,106.63 PEN (2,563,785.40) 18/01/2022 (2,119.57) BNP Paribas S.A. RUB 4,452,965.00 USD (61,335.61) 24/01/2022 (2,034.99) UBS AG Stamford, CT RUB 5,640,753.00 USD (76,803.46) 24/01/2022 (1,684.94) Goldman Sachs Bank USA ZAR 3,093,000.00 USD (193,607.32) 25/02/2022 (1,548.11) BNP Paribas S.A. USD 38,576.01 MXN (836,000.00) 18/04/2022 (1,444.80) Goldman Sachs Bank USA

MXN 11,707,000.00 USD (571,692.27) 12/01/2022 (1,294.39) BNP Paribas S.A. RUB 2,777,963.00 USD (38,224.47) 24/01/2022 (1,230.03) Goldman Sachs Bank USA USD 66,248.67 PEN (274,614.00) 29/11/2022 (944.31) Standard Chartered Bank London RUB 2,831,605.00 USD (38,641.95) 24/01/2022 (933.16) Goldman Sachs Bank USA RUB 2,732,911.00 USD (37,311.40) 24/01/2022 (916.93) BNP Paribas S.A. USD 242,018.91 GBP (180,000.00) 17/02/2022 (884.78) Goldman Sachs Bank USA

USD 58,301.83 MXN (1,226,000.00) 18/03/2022 (757.74) Bank of America USD 226,533.23 EUR (200,090.77) 31/01/2022 (322.12) JPMorgan Chase & Co. USD 952,038.16 PEN (3,847,757.44) 26/07/2022 (308.40) Bank of America USD 356,772.54 EUR (314,946.48) 31/01/2022 (301.87) JPMorgan Chase & Co. USD 97,181.75 EUR (85,980.13) 31/01/2022 (299.27) JPMorgan Chase & Co. USD 77,914.03 EUR (68,945.39) 31/01/2022 (253.65) JPMorgan Chase & Co. USD 54,228.95 MXN (1,125,000.00) 18/02/2022 (243.97) Goldman Sachs Bank USA USD 543,190.38 MXN (11,280,000.00) 18/03/2022 (196.24) Bank of America USD 326,533.19 EUR (288,000.00) 17/02/2022 (97.69) BNP Paribas S.A. USD 61,162.08 EUR (54,022.84) 31/01/2022 (86.97) JPMorgan Chase & Co. USD 216,679.70 EUR (191,185.28) 31/01/2022 (78.94) JPMorgan Chase & Co. EUR 28,011.14 USD (31,794.04) 04/01/2022 (53.98) JPMorgan Chase & Co. USD 62,337.99 EUR (55,000.00) 17/02/2022 (39.43) Royal Bank Of Canada, TORONTO USD 11,638.16 EUR (10,298.50) 31/01/2022 (37.89) JPMorgan Chase & Co. USD 6,780.16 EUR (6,007.41) 31/01/2022 (30.81) JPMorgan Chase & Co. USD 4,964.92 EUR (4,399.06) 31/01/2022 (22.57) JPMorgan Chase & Co. EUR 10,756.85 USD (12,209.56) 04/01/2022 (20.73) JPMorgan Chase & Co. USD 2,254.99 EUR (2,000.33) 31/01/2022 (12.91) JPMorgan Chase & Co. USD 16,998.75 EUR (14,998.69) 31/01/2022 (6.20) JPMorgan Chase & Co.

Total (585,070.14)

As at December 31, 2021, SANTANDER FUTURE WEALTH has entered into the following forward foreign exchange contracts:

Amount bought

Amount sold

Maturity

Unrealised gain USD

Counterparty

BRL 143,867,906.77 USD (25,210,792.20) 31/01/2022 445,564.52 JPMorgan Chase & Co. BRL 666,184.65 USD (115,000.00) 31/01/2022 3,802.53 JPMorgan Chase & Co. BRL 423,462.04 USD (74,000.00) 31/01/2022 1,517.14 JPMorgan Chase & Co. GBP 4,845.62 USD (6,440.88) 31/01/2022 121.86 JPMorgan Chase & Co. EUR 4,718.88 USD (5,347.33) 31/01/2022 21.97 JPMorgan Chase & Co. GBP 148.90 USD (199.78) 31/01/2022 1.88 JPMorgan Chase & Co.

Total 451,029.90



244

Amount bought

Amount sold

Maturity


Counterparty

USD 233,000.00 BRL (1,342,392.22) 31/01/2022 (6,392.47) JPMorgan Chase & Co.

USD 197,000.00 BRL (1,125,244.30) 31/01/2022 (3,667.89) JPMorgan Chase & Co. USD 167.09 GBP (126.09) 31/01/2022 (3.68) JPMorgan Chase & Co.

Total (10,064.04)

Note 12 - Futures contracts As at December 31, 2021, SANTANDER EUROPEAN DIVIDEND has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

CHF (67.00) EURO/CHF FUTURE CROSS CURRENCY

14/03/2022 CHF 8,687,387.50 57,185.32 Banco Santander S.A.

Total 57,185.32

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

GBP 29.00 EURO/GBP FUTURE CROSS CURRENCY

14/03/2022 GBP 3,054,787.50 (66,265.26) Banco Santander S.A.

SEK (9.00) EUR/SEK FUTURE CROSS CURRENCY

14/03/2022 SEK 11,586,937.50 (3,829.86) Banco Santander S.A.

NOK 5.00 EUR/NOK FUTURE CROSS CURRENCY

14/03/2022 NOK 6,285,000.00 (3,770.63) Banco Santander S.A.

Total (73,865.75)

As at December 31, 2021, SANTANDER AM EURO CORPORATE BOND has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

EUR (2.00) EURO-BUND FUTURE 08/03/2022 EUR 342,740.00 6,038.40 Banco Santander S.A. Total 6,038.40

As at December 31, 2021, SANTANDER AM EURO EQUITY has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

EUR 462.00 EURO STOXX 50 EQUITY INDEX

18/03/2022 EUR 19,808,250.00 476,194.51 Banco Santander S.A.

Total 476,194.51

As at December 31, 2021, SANTANDER ACTIVE PORTFOLIO 1 has entered into the following future contracts:

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

USD (12.00) EURO FX FUTURE CURRENCY

14/03/2022 USD 1,710,375.00 (9,975.00) Banco Santander S.A.

USD (13.00) US 10YR NOTE (CBT) BOND 22/03/2022 USD 1,696,093.75 (3,859.37) Banco Santander S.A. Total (13,834.37)



245

As at December 31, 2021, SANTANDER ACTIVE PORTFOLIO 2 has entered into the following future contracts:

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

USD (5.00) EURO FX FUTURE CURRENCY 14/03/2022 USD 712,656.25 (4,156.25) Banco Santander S.A. USD (7.00) US 10YR NOTE (CBT) BOND 22/03/2022 USD 913,281.25 (2,078.12) Banco Santander S.A. Total (6,234.37)

As at December 31, 2021, SANTANDER SELECT DEFENSIVE has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

USD 318.00 EURO FX FUTURE CURRENCY

14/03/2022 USD 45,324,937.50 223,847.17 Banco Santander S.A.



JPY 39.00 TOPIX EQUITY INDEX 10/03/2022 JPY 776,880,000 164,792.81 Banco Santander S.A. USD 129.00 US 10YR NOTE (CBT) BOND 22/03/2022 USD 16,830,468.75 29,868.18 Banco Santander S.A. EUR (5.00) EURO-BTP FUTURE BOND 08/03/2022 EUR 735,050.00 12,815.00 Banco Santander S.A. Total 597,659.86

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

JPY (39.00) EURO/JPY FUTURE CROSS CURRENCY

14/03/2022 JPY 639,063,750 (97,871.00) Banco Santander S.A.

USD (39.00) S&P500 EMINI EQUITY INDEX 18/03/2022 USD 9,279,075.00 (93,967.64) Banco Santander S.A. EUR 8.00 EURO-BUXL 30Y BOND 08/03/2022 EUR 1,653,920.00 (84,640.00) Banco Santander S.A. EUR 11.00 EURO-BUND 08/03/2022 EUR 1,885,070.00 (33,220.00) Banco Santander S.A. USD 15.00 MSCI EMGMKT EQUITY

INDEX 18/03/2022 USD 919,725.00 (5,803.73) Banco Santander S.A.

USD 4.00 US ULTRA BOND CBT BOND 22/03/2022 USD 788,500.00 (601.82) Banco Santander S.A. Total (316,104.19)

As at December 31, 2021, SANTANDER SELECT MODERATE has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty



JPY 41.00 TOPIX EQUITY INDEX 10/03/2022 JPY 816,720,000 181,081.86 Banco Santander S.A. USD 245.00 EURO FX FUTURE

CURRENCY 14/03/2022 USD 34,920,156.25 172,460.87 Banco Santander S.A.

USD 11.00 S&P500 EMINI EQUITY INDEX 18/03/2022 USD 2,617,175.00 66,882.00 Banco Santander S.A. EUR (19.00) EURO-BTP FUTURE BOND 08/03/2022 EUR 2,793,190.00 48,697.00 Banco Santander S.A. USD 120.00 US 10YR NOTE (CBT) BOND 22/03/2022 USD 15,656,250.00 27,784.35 Banco Santander S.A. Total 718,062.36

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty


14/03/2022 JPY 1,655,011,250 (253,460.78) Banco Santander S.A.

EUR 9.00 EURO-BUXL 30Y BOND 08/03/2022 EUR 1,860,660.00 (95,220.00) Banco Santander S.A. EUR 30.00 EURO-BUND FUTURE BOND 08/03/2022 EUR 5,141,100.00 (90,600.00) Banco Santander S.A. USD 25.00 MSCI EMGMKT EQUITY

INDEX 18/03/2022 USD 1,532,875.00 (9,672.88) Banco Santander S.A.




246

As at December 31, 2021, SANTANDER SELECT DYNAMIC has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty



JPY 44.00 TOPIX EQUITY INDEX 10/03/2022 JPY 876,480,000 190,958.89 Banco Santander S.A. USD 32.00 S&P500 EMINI EQUITY INDEX 18/03/2022 USD 7,613,600.00 130,501.35 Banco Santander S.A. USD 85.00 EURO FX FUTURE

CURRENCY 14/03/2022 USD 12,115,156.25 96,630.43 Banco Santander S.A.

EUR (7.00) EURO-BTP FUTURE BOND 08/03/2022 EUR 1,029,070.00 17,941.00 Banco Santander S.A. USD 37.00 US 10YR NOTE (CBT) BOND 22/03/2022 USD 4,827,343.75 8,566.84 Banco Santander S.A. Total 655,728.68

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty


14/03/2022 JPY 1,360,058,750 (208,289.55) Banco Santander S.A.

EUR 5.00 EURO-BUXL 30Y BOND 08/03/2022 EUR 1,033,700.00 (52,900.00) Banco Santander S.A. EUR 11.00 EURO-BUND FUTURE BOND 08/03/2022 EUR 1,885,070.00 (33,220.00) Banco Santander S.A. USD 73.00 MSCI EMGMKT EQUITY



As at December 31, 2021, SANTANDER SELECT INCOME has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

EUR 2,720.00 SX5E DIVIDEND EQUITY INDEX


USD 454.00 EURO FX FUTURE CURRENCY


Total 569,963.08

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

EUR 65.00 EURO-BOBL FUTURE BOND

08/03/2022 EUR 8,660,600.00 (63,000.00) Banco Santander S.A.

EUR 146.00 SHORT EURO-BTP BOND 08/03/2022 EUR 16,484,860.00 (58,800.00) Banco Santander S.A. Total (121,800.00)

As at December 31, 2021, SANTANDER GO ABSOLUTE RETURN has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

EUR (99.00) EURO-BUXL 30Y BOND 08/03/2022 EUR 20,467,260.00 992,840.00 Banco Santander S.A. USD 181.00 S&P500 EMINI EQUITY

INDEX 18/03/2022 USD 43,064,425.00 650,083.51 Banco Santander S.A.

EUR (216.00) EURO-OAT FUTURE BOND 08/03/2022 EUR 35,240,400.00 559,970.00 Banco Santander S.A. CHF 105.00 SWISS MARKET EQUITY

INDEX 18/03/2022 CHF 13,437,900.00 389,486.27 Banco Santander S.A.

EUR 144.00 CAC40 EQUITY INDEX 21/01/2022 EUR 10,285,920.00 300,760.00 Banco Santander S.A. EUR (362.00) EURO-BOBL FUTURE

BOND 08/03/2022 EUR 48,232,880.00 272,890.00 Banco Santander S.A.

GBP (158.00) LONG GILT FUTURE BOND 29/03/2022 GBP 19,734,200.00 265,268.28 Banco Santander S.A. EUR 166.00 EURO STOXX 50 EQUITY

INDEX 14/12/2023 EUR 8,242,613.80 241,878.70 Banco Santander S.A.



247

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

SEK 163.00 OMXS30 EQUITY INDEX 21/01/2022 SEK 39,433,775.00 235,966.95 Banco Santander S.A. EUR 43.00 FTSE/MIB EQUITY INDEX 18/03/2022 EUR 5,858,320.00 128,345.00 Banco Santander S.A. EUR 630.00 EURO STOXX BANK

EQUITY INDEX 18/03/2022 EUR 3,165,750.00 122,850.00 Banco Santander S.A.

GBP 46.00 FTSE 100 EQUITY INDEX 18/03/2022 GBP 3,369,040.00 113,148.76 Banco Santander S.A. EUR 62.00 STOXX 600 BAS EQUITY


EUR 72.00 SX5E DIVIDEND EQUITY INDEX

15/12/2023 EUR 852,480.00 88,640.00 Banco Santander S.A.

EUR (176.00) SHORT EURO-BTP BOND 08/03/2022 EUR 19,872,160.00 81,860.00 Banco Santander S.A. EUR 44.00 STOXX 600 MEDI EQUITY




USD (399.00) US 5YR NOTE (CBT) BOND 31/03/2022 USD 48,269,648.44 62,976.82 Banco Santander S.A. USD (87.00) US 10YR ULTRA BOND 22/03/2022 USD 12,740,062.50 62,969.91 Banco Santander S.A. AUD 29.00 SPI 200 FUTURES EQUITY

INDEX 17/03/2022 AUD 5,326,575.00 61,535.83 Banco Santander S.A.

USD 34.00 DJIA MINI E-CBOT EQUITY INDEX


USD (40.00) CBOE VIX EQUITY INDEX 16/02/2022 USD 878,820.00 48,522.69 Banco Santander S.A. USD 13.00 XAB MATERIALS EQUITY

INDEX 18/03/2022 USD 1,244,490.00 44,305.31 Banco Santander S.A.

USD 31.00 XAU UTILITIES EQUITY INDEX


EUR 57.00 STOXX EUR LRG 200 EQUITY INDEX


EUR 26.00 STOXX 600 HLTH EQUITY INDEX


EUR 42.00 STOXX 600 FOOD EQUITY INDEX


MXN 59.00 MEX BOLSA EQUITY INDEX

18/03/2022 MXN 31,719,580.00 28,012.56 Banco Santander S.A.

USD 28.00 US LONG BOND(CBT) BOND


USD 26.00 XAP CONS STAPLES EQUITY INDEX


USD 11.00 XAV HEALTH CARE EQUITY INDEX


EUR (19.00) EURO-BTP FUTURE BOND 08/03/2022 EUR 2,793,190.00 24,360.00 Banco Santander S.A. EUR 8.00 BMW AG SSDF STOCK

FUTURE 16/12/2022 EUR 42,832.00 22,672.00 Banco Santander S.A.

ZAR 25.00 FTSE/JSE TOP 40 EQUITY INDEX

17/03/2022 ZAR 16,748,000.00 18,673.28 Banco Santander S.A.

EUR (177.00) VSTOXX EQUITY INDEX 19/01/2022 EUR 363,735.00 15,045.00 Banco Santander S.A. EUR 17.00 STOXX 600 MEDI EQUITY

INDEX 18/03/2022 EUR 318,070.00 13,685.00 Banco Santander S.A.

USD (12.00) MSCI BRAZIL EQUITY INDEX

18/03/2022 USD 501,492.00 12,050.65 Banco Santander S.A.

EUR 13.00 MINI MDAX EQUITY INDEX


USD (44.00) US 2YR NOTE (CBT) BOND 31/03/2022 USD 9,599,562.50 9,480.53 Banco Santander S.A. EUR 6.00 STOXX 600 TECH EQUITY

INDEX 18/03/2022 EUR 241,560.00 8,995.00 Banco Santander S.A.

JPY 16.00 NIKKEI 225 (SGX) EQUITY INDEX

10/03/2022 JPY 230,080,000 7,846.25 Banco Santander S.A.

USD 44.00 FTSE TAIWAN EQUITY INDEX


USD 60.00 MSCI INDONESIA EQUITY INDEX

18/03/2022 USD 984,600.00 6,318.15 Banco Santander S.A.

EUR (46.00) EURO-SCHATZ BOND 08/03/2022 EUR 5,153,380.00 5,290.00 Banco Santander S.A. EUR 9.00 SCHNEIDER ELECSSDF

STOCK FUTURE 16/12/2022 EUR 27,108.00 4,608.00 Banco Santander S.A.

EUR 15.00 AXA SA SSDF STOCK FUTURE


CAD 3.00 S&P/TSX 60 EQUITY INDEX 17/03/2022 CAD 768,540.00 2,923.87 Banco Santander S.A. EUR 5.00 SIEMENS DIVIDEND

STOCK FUTURE 16/12/2022 EUR 20,250.00 1,850.00 Banco Santander S.A.

EUR 8.00 TOTAL SA SSDF STOCK FUTURE


EUR 25.00 ENI SPA SSDF STOCK FUTURE




248

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

EUR 2.00 ALLIANZ SE SSDF STOCK FUTURE


EUR 9.00 BAYER DIVIDENDS STOCK FUTURE

16/12/2022 EUR 18,090.00 900.00 Banco Santander S.A.

USD 5.00 XAF FINANCIAL EQUITY INDEX

18/03/2022 USD 600,625.00 802.40 Banco Santander S.A.

EUR 2.00 MUNICH RE SSDF STOCK FUTURE


EUR 1.00 STOXX 600 UTIL EQUITY INDEX


Total 5,429,848.86

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

EUR (396.00) EURO STOXX 50 EQUITY INDEX


EUR 183.00 EURO-BUND 08/03/2022 EUR 31,360,710.00 (512,150.00) Banco Santander S.A. EUR (284.00) STOXX 600 EQUITY INDEX 18/03/2022 EUR 3,301,500.00 (292,920.00) Banco Santander S.A. EUR (166.00) EURO STOXX 50 EQUITY

INDEX 17/12/2026 EUR 8,372,259.80 (256,776.10) Banco Santander S.A.

GBP (52.00) FTSE 250 EQUITY INDEX 18/03/2022 GBP 2,436,512.00 (119,049.15) Banco Santander S.A. USD 37.00 US ULTRA BOND CBT

BOND 22/03/2022 USD 7,293,625.00 (111,403.00) Banco Santander S.A.

EUR (31.00) IBEX 35 EQUITY INDEX 21/01/2022 EUR 2,692,164.00 (109,678.00) Banco Santander S.A. USD (88.00) MSCI EMGMKT EQUITY


USD (11.00) XAY CONS DISCRET EQUITY INDEX


USD 311.00 FTSE CHINA A50 EQUITY INDEX


EUR (43.00) EURO STOXX 50 EQUITY INDEX


EUR (15.00) AMSTERDAM EQUITY INDEX


USD (72.00) E-MINI RUSS 2000 EQUITY INDEX


EUR (96.00) STOXX 600 EQUITY INDEX 18/03/2022 EUR 2,139,360.00 (61,680.00) Banco Santander S.A. EUR (70.00) STOXX EUR SMALL20

EQUITY INDEX 18/03/2022 EUR 1,402,450.00 (56,345.00) Banco Santander S.A.

USD (16.00) EMINI S&P REESTATE EQUITY INDEX


EUR (6.00) DAX EQUITY INDEX 18/03/2022 EUR 2,378,400.00 (50,500.00) Banco Santander S.A. USD 20.00 CBOE VIX EQUITY INDEX 19/01/2022 USD 393,490.00 (47,933.52) Banco Santander S.A. JPY 13.00 JPN 10Y BOND(OSE) BOND 14/03/2022 JPY 1,970,670,000 (45,664.80) Banco Santander S.A. EUR (49.00) STOXX EUROPE 600

EQUITY INDEX 18/03/2022 EUR 1,191,925.00 (42,800.00) Banco Santander S.A.

EUR (182.00) STOXX 600 TLCM EQUITY INDEX


USD (126.00) US 10YR NOTE (CBT) BOND 22/03/2022 USD 16,439,062.50 (36,644.28) Banco Santander S.A. USD (18.00) XAI EMINI INDUSTR

EQUITY INDEX 18/03/2022 USD 1,915,200.00 (35,086.18) Banco Santander S.A.

AUD 110.00 AUSTRALAN 10Y BOND FUTURE

15/03/2022 AUD 15,308,406.30 (30,744.93) Banco Santander S.A.

USD (19.00) S&P EMINI COM SER EQUITY INDEX


HKD (37.00) HANG SENG EQUITY INDEX

28/01/2022 HKD 43,384,350.00 (22,118.32) Banco Santander S.A.

USD (22.00) MSCI RUSSIA EQUITY INDEX


USD (7.00) XAK TECHNOLOGY EQUITY INDEX


EUR 354.00 VSTOXX EQUITY INDEX 16/02/2022 EUR 766,410.00 (19,470.00) Banco Santander S.A. CAD 18.00 CANADIAN 10YR BOND 22/03/2022 CAD 2,567,160.00 (15,698.37) Banco Santander S.A. USD 20.00 CBOE VIX EQUITY INDEX 15/03/2022 USD 469,370.00 (13,920.16) Banco Santander S.A. USD 10.00 NASDAQ 100 E-MINI

EQUITY INDEX 18/03/2022 USD 3,264,150.00 (12,862.31) Banco Santander S.A.



249

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

EUR (14.00) STOXX 600 AUTO EQUITY INDEX

18/03/2022 EUR 461,720.00 (11,340.00) Banco Santander S.A.

EUR (20.00) STOXX 600 INSU EQUITY INDEX


AUD (246.00) AUSTRALIAN 3YR BOND FUTURE

15/03/2022 AUD 28,080,927.06 (8,788.53) Banco Santander S.A.

USD (16.00) MSCI CHINA FUTURE EQUITY INDEX

18/03/2022 USD 490,240.00 (8,666.02) Banco Santander S.A.

EUR (33.00) STOXX 600 BANK EQUITY INDEX


SGD (40.00) MSCI SING ETS EQUITY INDEX

28/01/2022 SGD 1,360,600.00 (5,805.17) Banco Santander S.A.

USD 14.00 XAE ENERGY EQUITY INDEX


USD (9.00) SGX NIFTY 50 EQUITY INDEX


HKD (78.00) HSCEI EQUITY INDEX 28/01/2022 HKD 32,241,300.00 (1,956.92) Banco Santander S.A. EUR 32.00 ING GROEP SSDF STOCK

FUTURE 16/12/2022 EUR 19,168.00 (352.00) Banco Santander S.A.

EUR (177.00) VSTOXX EQUITY INDEX 15/03/2022 EUR 423,030.00 - Banco Santander S.A. Total (3,163,967.28)

As at December 31, 2021, SANTANDER COVERED BOND has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain EUR

Counterparty

EUR (23.00) EURO-BUND 08/03/2022 EUR 3,941,510.00 69,223.20 Banco Santander S.A. EUR (26.00) EURO-BOBL 08/03/2022 EUR 3,464,240.00 24,840.00 Banco Santander S.A. EUR (5.00) EURO-BTP 08/03/2022 EUR 735,050.00 12,815.00 Banco Santander S.A. EUR (1.00) EURO-BUXL 30Y BOND 08/03/2022 EUR 206,740.00 10,480.00 Banco Santander S.A. EUR (12.00) EURO-SCHATZ 08/03/2022 EUR 1,344,360.00 1,200.00 Banco Santander S.A. Total 118,558.20

As at December 31, 2021, SANTANDER GO DYNAMIC BOND has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain USD

Counterparty

EUR (23.00) EURO-BUND 08/03/2022 EUR 3,941,510.00 60,734.16 Banco Santander S.A. USD (39.00) US ULTRA BOND CBT

BOND 22/03/2022 USD 7,626,937.50 39,304.71 Banco Santander S.A.

USD 24.00 US 10YR NOTE (CBT) BOND 22/03/2022 USD 3,129,750.00 14,812.49 Banco Santander S.A. GBP (3.00) LONG GILT FUTURE BOND 29/03/2022 GBP 374,340.00 769.30 Banco Santander S.A. Total 115,620.66

Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value


Counterparty

USD (130.00) US 10YR ULTRA BOND 22/03/2022 USD 19,002,343.75 (238,671.81) Banco Santander S.A. EUR 50.00 EURO-BTP FUTURE BOND 08/03/2022 EUR 7,350,500.00 (115,859.47) Banco Santander S.A. USD 275.00 US 5YR NOTE (CBT) BOND 31/03/2022 USD 33,249,218.75 (21,484.38) Banco Santander S.A. USD (1.00) US LONG BOND (CBT)

BOND 22/03/2022 USD 159,875.00 (1,007.81) Banco Santander S.A.

Total (377,023.47)



250

As at December 31, 2021, SANTANDER FUTURE WEALTH has entered into the following future contracts: Ccy

Number of contracts

bought/(sold)

Description

Maturity

Market Value

Unrealised gain USD

Counterparty

USD 31.00 S&P500 EMINI EQUITY INDEX 18/03/2022 USD 7,375,675.00 84,940.00 Banco Santander S.A. Total 84,940.00

Note 13 - Options contracts As at December 31, 2021, SANTANDER GO NORTH AMERICAN EQUITY has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value USD

Counterparty

USD FOREIGN EXCHANGE

OPTION - FXO Call 7.27 10/11/2022 444,870,768.31 1,355,228.84 Goldman Sachs International

USD FOREIGN EXCHANGE OPTION - FXO

Call 7.28 22/07/2022 430,799,832.43 499,035.91 JP Morgan Chase Bank






Call 7.57 30/03/2022 328,669,497.12 1,713.16 Goldman Sachs International

Total 2,232,433.55

As at December 31, 2021, SANTANDER ACTIVE PORTFOLIO 1 has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value USD

Counterparty

USD RUSSEL 2000 INDEX Call 2,150.00 16/12/2022 7.00 178,150.00 Banco Santander S.A. USD NASDAQ 100 INDEX Call 15,900.00 16/12/2022 1.00 177,430.00 Banco Santander S.A. EUR IBEX-35 Call 8,100.00 16/12/2022 155.00 152,470.09 Banco Santander S.A. EUR DAX Call 15,500.00 16/12/2022 18.00 140,933.20 Banco Santander S.A. GBP FTSE 100 Call 7,100.00 16/12/2022 18.00 131,286.84 Banco Santander S.A. USD MSCI EMERGING

MARKETS INDEX Call 1,200.00 16/12/2022 11.00 120,725.00 Banco Santander S.A.

JPY NIKKEI Call 28,000.00 09/12/2022 6.00 118,796.40 Banco Santander S.A. Total 1,019,791.53

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value USD

Counterparty

USD RUSSEL 2000 INDEX Call 2,360.00 16/12/2022 (7.00) USD 728,532.00 (99,050.00) Banco Santander S.A. USD NASDAQ 100 INDEX Call 17,500.00 16/12/2022 (1.00) USD 743,750.00 (93,455.00) Banco Santander S.A. EUR IBEX-35 Call 8,900.00 16/12/2022 (155.00) USD 666,637.55 (76,675.71) Banco Santander S.A. USD RUSSEL 2000 INDEX Put 1,920.00 16/12/2022 (7.00) USD 319,872.00 (69,650.00) Banco Santander S.A. USD NASDAQ 100 INDEX Put 13,600.00 16/12/2022 (1.00) USD 292,400.00 (66,820.00) Banco Santander S.A. EUR DAX Put 14,000.00 16/12/2022 (18.00) USD 367,334.85 (63,179.42) Banco Santander S.A. GBP FTSE 100 Put 6,400.00 16/12/2022 (18.00) USD 384,561.01 (61,315.95) Banco Santander S.A. JPY NIKKEI 225 Put 25,250.00 09/12/2022 (6.00) USD 343,591.15 (58,356.13) Banco Santander S.A. EUR DAX Call 17,000.00 16/12/2022 (18.00) USD 628,287.57 (58,010.85) Banco Santander S.A. EUR IBEX-35 Put 7,200.00 16/12/2022 (155.00) USD 288,640.66 (57,815.25) Banco Santander S.A. USD MSCI EMERGING

MARKETS INDEX Call 1,320.00 16/12/2022 (11.00) USD 505,296.00 (57,640.00) Banco Santander S.A.

USD MSCI EMERGING MARKETS INDEX

Put 1,050.00 16/12/2022 (11.00) USD 280,665.00 (57,200.00) Banco Santander S.A.

JPY NIKKEI 225 Call 30,750.00 09/12/2022 (6.00) USD 541,878.47 (54,448.35) Banco Santander S.A. GBP FTSE 100 Call 7,800.00 16/12/2022 (18.00) USD 586,329.04 (47,053.59) Banco Santander S.A. Total (920,670.25)



251

As at December 31, 2021, SANTANDER ACTIVE PORTFOLIO 2 has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value USD

Counterparty

USD RUSSEL 2000 INDEX Call 2,150.00 16/12/2022 7.00 178,150.00 Banco Santander S.A. USD NASDAQ 100 Call 15,900.00 16/12/2022 1.00 177,430.00 Banco Santander S.A. EUR IBEX-35 Call 8,100.00 16/12/2022 155.00 152,470.09 Banco Santander S.A. EUR DAX Call 15,500.00 16/12/2022 18.00 140,933.20 Banco Santander S.A. GBP FTSE 100 Call 7,100.00 16/12/2022 18.00 131,286.84 Banco Santander S.A. USD MSCI EMERGING

MARKETS INDEX Call 1,200.00 16/12/2022 11.00 120,725.00 Banco Santander S.A.

JPY NIKKEI 225 Call 28,000.00 09/12/2022 5.00 98,997.00 Banco Santander S.A. Total 999,992.13

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value USD

Counterparty

USD RUSSEL 2000 INDEX Call 2,360.00 16/12/2022 (7.00) USD 728,532.00 (99,050.00) Banco Santander S.A. USD NASDAQ 100 Call 17,500.00 16/12/2022 (1.00) USD 743,750.00 (93,455.00) Banco Santander S.A. EUR IBEX-35 Call 8,900.00 16/12/2022 (155.00) USD 666,637.55 (76,675.71) Banco Santander S.A. USD RUSSEL 2000 INDEX Put 1,920.00 16/12/2022 (7.00) USD 319,872.00 (69,650.00) Banco Santander S.A. USD NASDAQ 100 Put 13,600.00 16/12/2022 (1.00) USD 292,400.00 (66,820.00) Banco Santander S.A. EUR DAX Put 14,000.00 16/12/2022 (18.00) USD 367,334.85 (63,179.42) Banco Santander S.A. GBP FTSE 100 Put 6,400.00 16/12/2022 (18.00) USD 384,561.01 (61,315.95) Banco Santander S.A. EUR DAX Call 17,000.00 16/12/2022 (18.00) USD 628,287.57 (58,010.85) Banco Santander S.A. EUR IBEX-35 Put 7,200.00 16/12/2022 (155.00) USD 288,640.66 (57,815.25) Banco Santander S.A. USD MSCI EMERGING

MARKETS INDEX Call 1,320.00 16/12/2022 (11.00) USD 505,296.00 (57,640.00) Banco Santander S.A.

USD MSCI EMERGING MARKETS INDEX

Put 1,050.00 16/12/2022 (11.00) USD 280,665.00 (57,200.00) Banco Santander S.A.

JPY NIKKEI 225 Put 25,250.00 09/12/2022 (5.00) USD 286,325.96 (48,630.11) Banco Santander S.A. GBP FTSE 100 Call 7,800.00 16/12/2022 (18.00) USD 586,329.04 (47,053.59) Banco Santander S.A. JPY NIKKEI 225 Call 30,750.00 09/12/2022 (5.00) USD 451,565.39 (45,373.63) Banco Santander S.A. Total (901,869.51)

As at December 31, 2021, SANTANDER SELECT DEFENSIVE has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty

EUR EURO STOXX 50 INDEX Put 4,225.00 21/01/2022 83.00 31,623.00 Banco Santander S.A. USD S&P 500 INDEX Put 4,600.00 21/01/2022 17.00 28,403.10 Banco Santander S.A. USD S&P 500 INDEX Put 3,675.00 21/01/2022 38.00 4,009.85 Banco Santander S.A. EUR EURO STOXX 50 INDEX Call 4,525.00 21/01/2022 155.00 3,255.00 Banco Santander S.A. EUR EURO STOXX 50 INDEX Put 3,300.00 21/01/2022 157.00 2,198.00 Banco Santander S.A. Total 69,488.95

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value EUR

Counterparty

USD S&P 500 INDEX Call 4,850.00 21/01/2022 (5.00) EUR 592,151.78 (7,826.24) Banco Santander S.A. EUR EURO STOXX 50 INDEX Put 3,875.00 21/01/2022 (83.00) EUR 189,758.75 (6,225.00) Banco Santander S.A. USD S&P 500 INDEX Put 4,200.00 21/01/2022 (17.00) EUR 195,119.84 (5,830.11) Banco Santander S.A. Total (19,881.35)



252

As at December 31, 2021, SANTANDER SELECT MODERATE has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty

EUR EURO STOXX 50 INDEX Put 4,225.00 21/01/2022 142.00 54,102.00 Banco Santander S.A. USD S&P 500 INDEX Put 4,600.00 21/01/2022 29.00 48,452.34 Banco Santander S.A. EUR EURO STOXX 50 INDEX Call 4,525.00 21/01/2022 233.00 4,893.00 Banco Santander S.A. USD S&P 500 INDEX Put 3,675.00 21/01/2022 43.00 4,537.46 Banco Santander S.A. EUR EURO STOXX 50 INDEX Put 3,300.00 21/01/2022 177.00 2,478.00 Banco Santander S.A. Total 114,462.80

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value EUR

Counterparty

USD S&P 500 INDEX Call 4,850.00 21/01/2022 (8.00) EUR 947,442.86 (12,521.98) Banco Santander S.A. EUR EURO STOXX 50 INDEX Put 3,875.00 21/01/2022 (142.00) EUR 324,647.50 (10,650.00) Banco Santander S.A. USD S&P 500 INDEX Put 4,200.00 21/01/2022 (29.00) EUR 332,851.50 (9,945.48) Banco Santander S.A. Total (33,117.46)

As at December 31, 2021, SANTANDER SELECT DYNAMIC has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty

EUR EURO STOXX 50 INDEX Put 4,225.00 21/01/2022 135.00 51,435.00 Banco Santander S.A. USD S&P 500 INDEX Put 4,600.00 21/01/2022 28.00 46,781.57 Banco Santander S.A. EUR EURO STOXX 50 INDEX Call 4,525.00 21/01/2022 186.00 3,906.00 Banco Santander S.A. USD S&P 500 INDEX Put 3,675.00 21/01/2022 19.00 2,004.92 Banco Santander S.A. EUR EURO STOXX 50 INDEX Put 3,300.00 21/01/2022 92.00 1,288.00 Banco Santander S.A. Total 105,415.49

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value EUR

Counterparty

EUR EURO STOXX 50 INDEX Put 3,875.00 21/01/2022 (135.00) EUR 308,643.75 (10,125.00) Banco Santander S.A. USD S&P 500 INDEX Put 4,200.00 21/01/2022 (28.00) EUR 321,373.86 (9,602.53) Banco Santander S.A. USD S&P 500 INDEX Call 4,850.00 21/01/2022 (6.00) EUR 710,582.14 (9,391.49) Banco Santander S.A. Total (29,119.02)



253

As at December 31, 2021, SANTANDER GO ABSOLUTE RETURN has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty

USD S&P 500 INDEX Call 4,570.00 31/12/2021 21.00 381,183.61 Banco Santander S.A. USD S&P 500 INDEX Call 4,000.00 16/12/2022 4.00 322,898.35 Banco Santander S.A. EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.03 16/02/2022 15,000,000.00 248,029.50 Morgan Stanley & Co.

EUR CAC 40 Call 6,800.00 17/06/2022 52.00 244,498.80 Banco Santander S.A. GBP SWAPTION - SOP Call 1.50 11/11/2031 1,800,000.00 220,865.90 Morgan Stanley & Co. EUR SWAPTION - SOP Call 0.50 02/11/2023 2,100,000.00 217,019.70 BOFA Securities Europe S.A. EUR EURO-BUND Put 173.00 18/02/2022 86.00 204,680.00 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.06 26/01/2022 8,400,000.00 197,132.79 Goldman Sachs International

AUD SWAPTION - SOP Call 1.25 18/11/2025 9,500,000.00 192,922.77 Goldman Sachs International EUR CREDIT DEFAULT SWAP

INDEX OPTION Call 0.04 16/03/2022 54,000,000.00 176,450.40 Morgan Stanley & Co.

EUR FOREIGN EXCHANGE OPTION - FXO

Put 90.50 13/10/2023 4,000,000.00 139,938.10 Deutsche Bank AG

EUR CREDIT DEFAULT SWAP INDEX OPTION


USD SWAPTION - SOP Put 1.50 19/10/2023 19,800,000.00 124,478.52 Goldman Sachs International EUR EURO STOXX 50 INDEX Call 4,350.00 17/06/2022 85.00 114,325.00 Banco Santander S.A. USD SWAPTION - SOP Call 1.10 22/03/2022 7,500,000.00 112,681.04 Goldman Sachs International USD SWAPTION - SOP Call 0.75 01/03/2022 20,200,000.00 109,537.93 BOFA Securities Europe S.A. EUR SWAPTION - SOP Call 0.01 03/11/2022 600,000.00 99,686.03 BOFA Securities Europe S.A. USD FOREIGN EXCHANGE

OPTION - FXO Call 115.00 31/10/2022 5,000,000.00 94,405.22 BOFA Securities Europe S.A.


Call 10.10 11/02/2022 4,400,000.00 92,994.45 BOFA Securities Europe S.A.

USD MSCI EMERG MARKETS PRICE INDEX

Put 1,250.00 21/03/2022 39.00 89,509.32 Banco Santander S.A.

EUR EURO-BUND Put 171.50 18/02/2022 60.00 89,400.00 Banco Santander S.A. EUR FOREIGN EXCHANGE



Call 1.17 25/11/2022 6,800,000.00 88,025.51 Morgan Stanley & Co.

EUR SWAPTION - SOP Call 0.15 23/03/2022 6,300,000.00 79,241.91 BOFA Securities Europe S.A. EUR EURO STOXX 50 INDEX Call 4,275.00 21/01/2022 104.00 78,312.00 Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Call 1.04 15/02/2022 6,800,000.00 77,982.18 J.P. Morgan AG

USD 14 YEAR US TREASURY NOTES

Put 130.00 18/02/2022 120.00 75,844.18 Banco Santander S.A.


Call 121.25 21/01/2022 366.00 75,431.98 Banco Santander S.A.


Call 0.03 16/03/2022 15,000,000.00 75,024.00 Citigroup Global Markets

USD SWAPTION - SOP Put 1.35 22/06/2023 11,300,000.00 74,501.80 Goldman Sachs International SEK OMXS30 Call 2,410.00 21/01/2022 185.00 73,669.11 Banco Santander S.A. USD S&P 500 INDEX Call 4,610.00 31/12/2021 5.00 72,942.31 Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Call 99.00 07/10/2026 800,000.00 69,600.06 BOFA Securities Europe S.A.

GBP SWAPTION - SOP Put 1.10 19/10/2022 14,400,000.00 69,024.41 Goldman Sachs International EUR STOXX EUROPE 600 Call 580.00 21/01/2022 46.00 68,310.00 Banco Santander S.A. EUR EURO STOXX 50 INDEX Put 3,650.00 17/06/2022 85.00 67,915.00 Banco Santander S.A. USD MSCI EMERG MARKETS

PRICE INDEX Put 1,220.00 21/03/2022 39.00 66,703.31 Banco Santander S.A.



EUR EURO-BUND Put 172.00 21/01/2022 50.00 63,000.00 Banco Santander S.A.



254

Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty

EUR EURO STOXX 50 INDEX Call 125.00 19/12/2025 118.00 61,124.00 Banco Santander S.A. USD 10 YEAR US TREASURY

NOTES Call 131.00 21/01/2022 200.00 60,455.51 Banco Santander S.A.


Put 74.75 18/02/2022 10,800,000.00 59,118.77 BOFA Securities Europe S.A.



EUR EURO-BUND Call 172.50 18/02/2022 60.00 55,800.00 Banco Santander S.A. EUR EURO-BUND Put 171.00 21/01/2022 75.00 55,500.00 Banco Santander S.A. EUR CAC 40 Put 5,800.00 17/06/2022 52.00 52,561.60 Banco Santander S.A. EUR EURO-SCHATZ Put 112.10 21/01/2022 477.00 52,470.00 Banco Santander S.A. CHF SWISS MARKET INDEX Call 12,950.00 21/01/2022 47.00 52,163.77 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 1.14 18/01/2022 8,900,000.00 50,741.14 Morgan Stanley & Co.

SEK OMXS30 Call 2,420.00 21/01/2022 139.00 49,276.24 Banco Santander S.A. USD SWAPTION - SOP Put 2.00 10/12/2029 800,000.00 49,010.68 BOFA Securities Europe S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 131.00 26/01/2022 8,400,000.00 48,913.54 BOFA Securities Europe S.A.


Call 104.00 07/10/2026 800,000.00 48,704.42 BOFA Securities Europe S.A.

EUR AEX INDEX Put 780.00 21/01/2022 82.00 48,134.00 Banco Santander S.A. USD DOW JONES INDEX Call 366.00 21/01/2022 141.00 47,735.67 Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Put 84.00 25/01/2022 6,500,000.00 47,095.92 Morgan Stanley & Co.

EUR EURO STOXX 50 INDEX Call 90.00 16/12/2022 18.00 46,656.00 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 0.96 20/11/2024 2,300,000.00 46,594.81 Calyon

USD SWAPTION - SOP Call 2.00 10/12/2029 800,000.00 46,113.79 BOFA Securities Europe S.A. USD FOREIGN EXCHANGE



Call 142.00 20/11/2024 2,300,000.00 44,993.62 Calyon

EUR EURO-BOBL Call 133.75 21/01/2022 307.00 44,515.00 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 88.00 25/11/2022 2,200,000.00 43,878.14 JP Morgan Securities Plc

AUD FOREIGN EXCHANGE OPTION - FXO





Put 117.00 20/11/2024 2,300,000.00 42,771.08 Calyon


Put 0.83 21/11/2024 3,600,000.00 41,336.31 Morgan Stanley & Co.




Put 0.81 20/11/2024 2,300,000.00 39,620.78 Calyon

EUR EURO-BUND Call 172.50 21/01/2022 86.00 39,560.00 Banco Santander S.A. USD 5 YEAR US TREASURY

NOTES Call 121.25 18/02/2022 100.00 38,471.69 Banco Santander S.A.




Call 98.00 14/10/2026 400,000.00 37,056.46 Societe Generale


Call 139.50 20/11/2023 2,300,000.00 36,745.37 Calyon




Put 0.96 21/11/2024 2,300,000.00 36,493.63 Calyon

GBP FOREIGN EXCHANGE OPTION - FXO

Call 13.10 22/11/2024 1,200,000.00 36,441.03 JP Morgan Securities Plc

USD S&P 500 INDEX Call 4,765.00 10/01/2022 11.00 36,147.56 Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Call 98.50 15/10/2026 400,000.00 35,855.14 Societe Generale

EUR LONG-TERM EURO-BTP Put 147.50 21/01/2022 25.00 35,750.00 Banco Santander S.A. AUD SWAPTION - SOP Put 1.25 18/11/2025 9,500,000.00 35,025.80 Goldman Sachs International EUR FOREIGN EXCHANGE




255

Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty

EUR FOREIGN EXCHANGE

OPTION - FXO Call 1.28 15/11/2024 2,200,000.00 34,320.86 Citigroup Global Markets





JPY SWAPTION - SOP Call 0.44 05/12/2029 150,000,000.00 33,549.97 Goldman Sachs International EUR EURO-BUND Put 170.50 18/02/2022 32.00 33,280.00 Banco Santander S.A. CHF SWISS MARKET INDEX Call 13,000.00 21/01/2022 37.00 31,816.52 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.08 15/11/2024 2,200,000.00 31,553.77 Citigroup Global Markets

EUR SWAPTION - SOP Call 1.20 08/11/2022 1,800,000.00 31,354.00 BOFA Securities Europe S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 119.50 20/11/2023 2,300,000.00 30,896.37 Calyon


Put 0.85 22/11/2023 3,600,000.00 30,524.01 Morgan Stanley & Co.




Call 1.11 21/11/2024 2,300,000.00 29,083.28 Calyon

USD CREDIT DEFAULT SWAP INDEX OPTION


JPY SWAPTION - SOP Put 0.44 05/12/2029 150,000,000.00 28,616.45 Goldman Sachs International GBP FOREIGN EXCHANGE

OPTION - FXO Put 10.80 22/11/2024 1,200,000.00 28,539.90 JP Morgan Securities Plc




Put 0.81 20/11/2023 2,300,000.00 27,881.58 Calyon




Put 0.98 22/11/2023 2,300,000.00 27,515.97 Calyon

JPY NIKKEI 225 Put 28,250.00 14/01/2022 18.00 27,490.51 Banco Santander S.A. USD FOREIGN EXCHANGE


USD SWAPTION - SOP Call 3.45 10/11/2023 3,500,000.00 26,875.51 BOFA Securities Europe S.A. EUR FOREIGN EXCHANGE




JPY NIKKEI 225 Put 28,000.00 11/03/2022 5.00 24,817.83 Banco Santander S.A. JPY NIKKEI 225 Put 28,375.00 14/01/2022 14.00 24,588.74 Banco Santander S.A. EUR FOREIGN EXCHANGE






USD 30 YEAR US TREASURY BONDS



Put 1.01 21/11/2022 2,300,000.00 23,281.69 Calyon


Put 1.08 16/11/2023 2,200,000.00 23,087.43 Citigroup Global Markets


Call 0.01 16/02/2022 20,000,000.00 22,946.00 Citigroup Global Markets


Call 0.89 18/11/2022 2,300,000.00 22,236.59 Calyon



JPY NIKKEI 225 Put 27,875.00 14/01/2022 20.00 21,381.51 Banco Santander S.A. EUR FOREIGN EXCHANGE


EUR DAX Put 15,300.00 21/01/2022 56.00 20,804.00 Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Put 0.88 21/11/2022 3,600,000.00 20,726.78 Morgan Stanley & Co.



256

Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty


OPTION - FXO Call 1.17 20/06/2022 3,500,000.00 20,644.34 Goldman Sachs International


Call 1.10 22/11/2023 2,300,000.00 20,497.72 Calyon




Put 11.00 23/11/2023 1,200,000.00 19,929.40 JP Morgan Securities Plc

CHF SWISS MARKET INDEX Put 12,500.00 18/03/2022 9.00 18,266.49 Banco Santander S.A. EUR DAX Put 15,250.00 21/01/2022 53.00 18,179.00 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 122.50 18/11/2022 2,300,000.00 17,492.07 Calyon


Put 0.81 18/11/2022 2,300,000.00 17,471.52 Calyon

EUR IBEX-35 Put 8,200.00 18/02/2022 164.00 17,220.00 Banco Santander S.A. USD S&P 500 INDEX Put 4,650.00 18/02/2022 3.00 17,147.38 Banco Santander S.A. USD NASDAQ 100 Call 16,825.00 21/01/2022 3.00 17,041.86 Banco Santander S.A. EUR FOREIGN EXCHANGE




JPY NIKKEI 225 Put 27,000.00 10/02/2022 9.00 16,150.68 Banco Santander S.A. AUD FOREIGN EXCHANGE


GBP FTSE 101 Call 7,500.00 21/01/2022 52.00 15,793.18 Banco Santander S.A. USD SWAPTION - SOP Put 0.95 23/06/2022 11,300,000.00 15,744.62 Goldman Sachs International EUR DAX Call 16,200.00 21/01/2022 57.00 15,219.00 Banco Santander S.A. EUR FOREIGN EXCHANGE


EUR DAX Put 15,000.00 21/01/2022 57.00 13,309.50 Banco Santander S.A. AUD S&P/ASX 200 INDEX Put 7,175.00 20/01/2022 95.00 13,301.33 Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Call 114.90 18/01/2022 2,700,000.00 13,087.13 Nomura Intl Plc



AUD S&P/ASX 200 INDEX Put 7,150.00 20/01/2022 95.00 12,147.34 Banco Santander S.A. GBP FTSE 104 Put 7,075.00 21/01/2022 52.00 12,077.14 Banco Santander S.A. EUR FOREIGN EXCHANGE


AUD S&P/ASX 200 INDEX Call 7,575.00 20/01/2022 95.00 11,722.18 Banco Santander S.A. EUR DAX Call 16,250.00 21/01/2022 56.00 11,536.00 Banco Santander S.A. USD SWAPTION - SOP Call 2.75 07/11/2022 1,500,000.00 11,510.62 BOFA Securities Europe S.A. USD S&P 500 INDEX Call 4,875.00 18/02/2022 3.00 11,443.90 Banco Santander S.A. USD CREDIT DEFAULT SWAP

INDEX OPTION Call 1.06 19/01/2022 20,000,000.00 11,440.38 Morgan Stanley & Co.

USD SWAPTION - SOP Call 4.00 02/02/2035 400,000.00 10,989.97 BOFA Securities Europe S.A. AUD FOREIGN EXCHANGE



Put 8.75 06/06/2022 2,000,000.00 10,084.10 Deutsche Bank AG

USD SWAPTION - SOP Call 4.00 01/02/2030 450,000.00 9,434.43 BOFA Securities Europe S.A. CHF SWISS MARKET INDEX Put 12,250.00 21/01/2022 37.00 9,034.32 Banco Santander S.A. EUR CAC 40 Put 6,600.00 21/01/2022 60.00 9,024.00 Banco Santander S.A. JPY NIKKEI 225 Call 29,625.00 14/01/2022 20.00 8,858.05 Banco Santander S.A. AUD FOREIGN EXCHANGE


AUD S&P/ASX 200 INDEX Call 7,600.00 20/01/2022 95.00 8,503.13 Banco Santander S.A. USD CREDIT DEFAULT SWAP

INDEX OPTION Call 0.01 19/01/2022 30,000,000.00 7,866.69 BOFA Securities Europe S.A.

AUD S&P/ASX 200 INDEX Put 7,025.00 20/01/2022 93.00 7,848.46 Banco Santander S.A. SEK SWAPTION - SOP Put 0.35 27/01/2023 34,700,000.00 7,741.85 JP Morgan Securities Plc EUR FOREIGN EXCHANGE


CHF SWISS MARKET INDEX Put 12,150.00 21/01/2022 36.00 7,330.92 Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Put 112.50 24/01/2022 10,200,000.00 4,898.57 Nomura Intl Plc

AUD S&P/ASX 200 INDEX Put 7,075.00 20/01/2022 47.00 4,657.54 Banco Santander S.A. GBP FTSE 100 Call 7,600.00 21/01/2022 48.00 4,573.59 Banco Santander S.A. USD SWAPTION - SOP Call 4.50 04/12/2029 300,000.00 4,309.37 Goldman Sachs International USD S&P 500 INDEX Put 4,500.00 21/01/2022 4.00 4,150.55 Banco Santander S.A.



257

Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value EUR

Counterparty



CHF SWISS MARKET INDEX Put 12,400.00 21/01/2022 9.00 2,996.64 Banco Santander S.A. USD FOREIGN EXCHANGE


USD DIS Put 140.00 18/03/2022 13.00 2,560.68 Banco Santander S.A. USD ALB Put 160.00 18/03/2022 11.00 2,514.95 Banco Santander S.A. JPY NIKKEI 225 Put 15,000.00 10/06/2022 8.00 2,321.42 Banco Santander S.A. USD KMX Put 95.00 14/04/2022 19.00 2,222.12 Banco Santander S.A. EUR FOREIGN EXCHANGE





Put 1.12 18/01/2022 2,800,000.00 1,931.05 Citigroup Global Markets

USD MPC Put 47.50 14/04/2022 37.00 1,708.14 Banco Santander S.A. USD DRI Put 110.00 14/04/2022 15.00 1,615.81 Banco Santander S.A. USD VTR Put 45.00 18/02/2022 42.00 1,569.64 Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Call 118.50 02/03/2022 1,500,000.00 1,568.01 Goldman Sachs International



EUR EURO STOXX 50 INDEX Put 1,500.00 17/06/2022 81.00 1,458.00 Banco Santander S.A. USD FOREIGN EXCHANGE


AUD S&P/ASX 200 INDEX Call 7,750.00 20/01/2022 93.00 1,248.62 Banco Santander S.A. USD PEG Put 50.00 18/03/2022 39.00 1,114.58 Banco Santander S.A. EUR DAX Call 16,700.00 21/01/2022 40.00 960.00 Banco Santander S.A. USD AES Put 18.00 18/02/2022 102.00 896.94 Banco Santander S.A. USD HPE Put 11.00 18/02/2022 159.00 838.90 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.12 20/01/2022 900,000.00 768.26 Goldman Sachs International

USD RUSSEL 2000 INDEX Call 2,500.00 21/01/2022 15.00 765.04 Banco Santander S.A. EUR DAX Call 16,850.00 21/01/2022 53.00 742.00 Banco Santander S.A. USD EQR Put 65.00 14/04/2022 29.00 701.28 Banco Santander S.A. USD WMB Put 21.00 18/02/2022 87.00 612.03 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 10.50 18/01/2022 1,600,000.00 582.70 Nomura Intl Plc

AUD SWAPTION - SOP Put 0.50 21/11/2022 5,000,000.00 450.76 BOFA Securities Europe S.A. USD CBOE VOLATILITY

INDEX Put 15.00 16/02/2022 116.00 306.01 Banco Santander S.A.

USD RUSSEL 2000 INDEX Put 2,240.00 31/12/2021 20.00 228.63 Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Put 110.00 17/01/2022 13,800,000.00 149.16 BOFA Securities Europe S.A.

USD S&P 500 INDEX Put 4,360.00 31/12/2021 10.00 61.55 Banco Santander S.A. USD S&P 500 INDEX Put 4,400.00 31/12/2021 10.00 43.97 Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.40 06/01/2022 1,800,000.00 3.58 BOFA Securities Europe S.A.


Call 1.49 06/01/2022 1,800,000.00 0.26 BOFA Securities Europe S.A.

Total 8,603,898.17



258

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value EUR

Counterparty

EUR CAC 40 Call 6,900.00 18/03/2022 (65.00) EUR 3,077,948.81 (244,224.50) Banco Santander S.A. GBP SWAPTION - SOP Call 0.10 11/11/2026 (1,800,000.00) EUR 912,352.88 (179,423.44) Morgan Stanley & Co. EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.03 16/03/2022 (18,000,000.00) EUR 18,000,000.00 (124,522.20) Morgan Stanley & Co.


Put 0.04 16/03/2022 (40,000,000.00) EUR 40,000,000.00 (108,684.00) Goldman Sachs International

EUR EURO-BUND Put 171.00 18/02/2022 (86.00) EUR 7,863,990.11 (107,500.00) Banco Santander S.A. EUR SWAPTION - SOP Put 1.00 02/11/2023 (2,100,000.00) EUR 779,100.00 (104,781.09) BOFA Securities Europe S.A. EUR SWAPTION - SOP Put 0.09 03/11/2022 (1,800,000.00) EUR 1,093,863.11 (102,977.82) BOFA Securities Europe S.A. EUR EURO STOXX 50 INDEX Call 4,350.00 18/03/2022 (102.00) EUR 1,936,493.04 (97,716.00) Banco Santander S.A. EUR SWAPTION - SOP Call 0.85 10/12/2029 (1,300,000.00) EUR 488,512.56 (85,897.04) BOFA Securities Europe S.A. EUR EURO-BUND Put 168.50 18/02/2022 (183.00) EUR 8,085,808.67 (84,180.00) Banco Santander S.A. EUR SWAPTION - SOP Put 0.85 10/12/2029 (1,300,000.00) EUR 438,013.72 (83,038.17) BOFA Securities Europe S.A. USD S&P 500 INDEX Call 5,000.00 17/06/2022 (8.00) EUR 1,085,664.12 (71,790.36) Banco Santander S.A. EUR EURO STOXX 50 INDEX Call 4,800.00 19/12/2025 (30.00) EUR 251,930.50 (69,750.00) Banco Santander S.A. USD SWAPTION - SOP Call 1.10 19/10/2023 (19,800,000.00) EUR 5,412,417.25 (65,107.75) Goldman Sachs International USD SWAPTION - SOP Put 2.40 10/11/2022 (3,500,000.00) EUR 642,842.20 (56,533.43) BOFA Securities Europe S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.04 26/01/2022 (8,400,000.00) EUR 5,059,505.54 (56,091.50) Goldman Sachs International

EUR SWAPTION - SOP Put 0.05 23/03/2022 (6,300,000.00) EUR 3,685,120.42 (56,068.62) BOFA Securities Europe S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 83.00 13/10/2023 (4,000,000.00) EUR 524,789.74 (53,936.98) Deutsche Bank AG

AUD S&P/ASX 200 INDEX Call 7,500.00 16/06/2022 (31.00) EUR 610,340.46 (50,222.20) Banco Santander S.A. EUR EURO STOXX 50 INDEX Call 4,375.00 21/01/2022 (208.00) EUR 2,861,149.55 (49,712.00) Banco Santander S.A. USD SWAPTION - SOP Put 1.00 01/03/2022 (20,200,000.00) EUR 0.00 (48,000.80) BOFA Securities Europe S.A. EUR SWAPTION - SOP Call 0.01 02/11/2023 (1,000,000.00) EUR 416,000.00 (46,480.95) BOFA Securities Europe S.A. USD 13 YEAR US TREASURY

NOTES Put 128.00 18/02/2022 (240.00) EUR 6,165,262.21 (46,166.02) Banco Santander S.A.

EUR EURO-BUND Call 174.50 18/02/2022 (120.00) EUR 2,851,519.05 (45,600.00) Banco Santander S.A. EUR EURO-BUND Put 168.00 18/02/2022 (120.00) EUR 4,420,039.84 (43,200.00) Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Put 75.60 18/02/2022 (3,600,000.00) EUR 1,625,353.59 (42,502.94) BOFA Securities Europe S.A.


Call 1.20 25/11/2022 (6,800,000.00) EUR 1,481,229.79 (42,241.38) Morgan Stanley & Co.

EUR SWAPTION - SOP Put 0.05 23/03/2022 (6,300,000.00) EUR 2,824,943.42 (38,808.58) BOFA Securities Europe S.A. USD SWAPTION - SOP Put 1.50 22/03/2022 (7,500,000.00) EUR 2,795,465.46 (35,831.06) Goldman Sachs International EUR FOREIGN EXCHANGE

OPTION - FXO Call 10.30 11/02/2022 (4,400,000.00) EUR 2,176,794.90 (35,708.22) BOFA Securities Europe S.A.

EUR EURO STOXX 50 INDEX Put 3,750.00 18/03/2022 (102.00) EUR 503,052.59 (34,680.00) Banco Santander S.A. EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.04 16/03/2022 (15,000,000.00) EUR 15,000,000.00 (34,006.50) Citigroup Global Markets

EUR EURO-BUND Put 170.00 21/01/2022 (86.00) EUR 5,373,501.53 (32,680.00) Banco Santander S.A. USD SWAPTION - SOP Call 0.75 19/10/2023 (19,800,000.00) EUR 3,514,700.04 (32,199.88) Goldman Sachs International GBP SWAPTION - SOP Call 0.80 19/10/2022 (14,400,000.00) EUR 2,811,790.86 (32,191.21) Goldman Sachs International USD SWAPTION - SOP Put 1.85 22/03/2022 (1,500,000.00) EUR 361,938.05 (30,438.29) Goldman Sachs International EUR EURO STOXX 50 INDEX Call 100.00 16/12/2022 (18.00) EUR 26,979.45 (28,962.00) Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Put 0.72 02/02/2022 (5,000,000.00) EUR 1,497,729.17 (26,464.06) Citigroup Global Markets

EUR CAC 40 Put 6,000.00 18/03/2022 (65.00) EUR 344,719.43 (24,453.00) Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Call 1.06 15/02/2022 (6,800,000.00) EUR 1,883,708.23 (24,304.91) J.P. Morgan AG

EUR STOXX EUROPE 600 Call 610.00 21/01/2022 (46.00) EUR 552,586.45 (23,460.00) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 10.30 11/02/2022 (4,400,000.00) EUR 979,897.23 (21,438.52) Morgan Stanley & Co.


Put 120.00 31/10/2022 (4,300,000.00) EUR 501,876.61 (21,176.18) Goldman Sachs International

USD SWAPTION - SOP Call 0.75 22/06/2023 (11,300,000.00) EUR 2,096,361.37 (20,997.19) Goldman Sachs International EUR EURO-BUND Call 174.00 21/01/2022 (122.00) EUR 1,751,325.91 (20,740.00) Banco Santander S.A. EUR LONG-TERM EURO-BTP Put 146.00 21/01/2022 (25.00) EUR 1,451,415.99 (19,500.00) Banco Santander S.A. USD 5 YEAR US TREASURY

NOTES Put 119.50 18/02/2022 (150.00) EUR 3,524,500.34 (18,548.85) Banco Santander S.A.


Call 133.00 18/02/2022 (150.00) EUR 1,559,837.48 (18,548.85) Banco Santander S.A.

GBP SWAPTION - SOP Call 0.60 19/10/2022 (14,400,000.00) EUR 1,869,204.93 (18,206.67) Goldman Sachs International



259

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value EUR

Counterparty

EUR EURO-BUND Call 175.00 18/02/2022 (60.00) EUR 1,163,391.31 (18,000.00) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 131.00 17/01/2022 (4,000,000.00) EUR 2,086,031.83 (17,650.52) BOFA Securities Europe S.A.


Put 1.10 07/04/2022 (8,400,000.00) EUR 945,745.95 (15,742.31) BOFA Securities Europe S.A.

USD MSCI EMERG MARKETS PRICE INDEX

Call 1,320.00 21/03/2022 (39.00) EUR 933,313.57 (15,089.69) Banco Santander S.A.

EUR AEX INDEX Put 740.00 21/01/2022 (82.00) EUR 1,066,513.24 (14,268.00) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.03 18/01/2022 (8,900,000.00) EUR 1,748,810.87 (14,100.92) Calyon


Put 9.80 11/02/2022 (4,400,000.00) EUR 817,779.04 (13,994.80) Morgan Stanley & Co.

JPY NIKKEI 225 Put 26,500.00 11/03/2022 (5.00) EUR 169,305.07 (13,363.44) Banco Santander S.A. USD 30 YEAR US TREASURY

BONDS Put 159.00 21/01/2022 (18.00) EUR 1,037,038.31 (12,860.53) Banco Santander S.A.

USD CBOE VOLATILITY INDEX

Put 19.00 16/02/2022 (114.00) EUR 45,371.57 (12,530.78) Banco Santander S.A.

EUR SWAPTION - SOP Call 0.25 01/02/2023 (250,000.00) EUR 0.00 (12,510.62) JP Morgan Securities Plc EUR SWAPTION - SOP Call 0.65 07/08/2025 (350,000.00) EUR 74,685.87 (11,122.90) UBS AG USD FOREIGN EXCHANGE

OPTION - FXO Call 125.00 31/10/2022 (5,000,000.00) EUR 310,509.04 (10,865.99) BOFA Securities Europe S.A.

USD NASDAQ 100 Call 17,225.00 21/01/2022 (6.00) EUR 781,155.67 (10,684.14) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 83.00 25/11/2022 (2,200,000.00) EUR 418,442.35 (10,156.56) JP Morgan Securities Plc


Put 0.01 16/03/2022 (10,000,000.00) EUR 10,000,000.00 (10,147.00) BOFA Securities Europe S.A.


Call 122.00 21/01/2022 (246.00) EUR 0.00 (10,140.04) Banco Santander S.A.

JPY NIKKEI 225 Put 27,000.00 14/01/2022 (20.00) EUR 161,765.55 (9,621.68) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 1.15 18/01/2022 (8,900,000.00) EUR 3,232.78 (9,335.77) Morgan Stanley & Co.

USD S&P 500 INDEX Put 4,450.00 18/02/2022 (3.00) EUR 214,871.02 (9,325.54) Banco Santander S.A. EUR DAX Put 14,750.00 21/01/2022 (56.00) EUR 4,067,653.38 (9,072.00) Banco Santander S.A. USD CREDIT DEFAULT SWAP

INDEX OPTION Put 1.05 19/01/2022 (20,000,000.00) EUR 17,576,000.00 (8,902.57) BOFA Securities Europe S.A.



EUR IBEX-35 Put 7,800.00 18/02/2022 (164.00) EUR 134,886.26 (8,692.00) Banco Santander S.A. EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.01 16/02/2022 (20,000,000.00) EUR 20,000,000.00 (8,030.00) Citigroup Global Markets

JPY NIKKEI 225 Put 26,875.00 14/01/2022 (18.00) EUR 124,451.55 (7,972.25) Banco Santander S.A. CHF SWISS MARKET INDEX Put 11,750.00 18/03/2022 (9.00) EUR 162,306.35 (7,895.50) Banco Santander S.A. USD MSCI EMERG MARKETS

PRICE INDEX Call 1,350.00 21/03/2022 (39.00) EUR 771,066.40 (7,716.32) Banco Santander S.A.


Call 145.00 31/10/2022 (4,300,000.00) EUR 186,803.42 (7,480.46) Goldman Sachs International

EUR CAC 40 Call 7,300.00 21/01/2022 (30.00) EUR 10,729.55 (7,377.00) Banco Santander S.A. JPY NIKKEI 225 Put 25,500.00 10/02/2022 (9.00) EUR 101,490.09 (7,216.26) Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Call 115.50 18/01/2022 (2,700,000.00) EUR 845,997.75 (6,851.52) Nomura Intl Plc

EUR EURO-BOBL Call 134.25 21/01/2022 (123.00) EUR 1,440,137.05 (6,765.00) Banco Santander S.A. EUR DAX Put 14,500.00 21/01/2022 (57.00) EUR 177,325.40 (6,754.50) Banco Santander S.A. EUR EURO-SCHATZ Put 111.90 21/01/2022 (264.00) EUR 6,557,801.33 (6,600.00) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 128.00 26/01/2022 (8,400,000.00) EUR 710,177.94 (6,401.56) BOFA Securities Europe S.A.


Put 8.00 06/06/2022 (2,000,000.00) EUR 375.91 (6,232.48) Deutsche Bank AG

GBP FTSE 102 Put 6,850.00 21/01/2022 (52.00) EUR 255,855.97 (6,193.40) Banco Santander S.A. USD 31 YEAR US TREASURY

BONDS Call 165.00 21/01/2022 (37.00) EUR 279,575.37 (6,100.51) Banco Santander S.A.

GBP FTSE 103 Put 6,875.00 21/01/2022 (48.00) EUR 253,044.37 (6,002.84) Banco Santander S.A. EUR DAX Put 14,450.00 21/01/2022 (53.00) EUR 155,450.75 (5,989.00) Banco Santander S.A. AUD S&P/ASX 200 INDEX Put 6,925.00 20/01/2022 (95.00) EUR 257,518.59 (5,891.46) Banco Santander S.A. JPY NIKKEI 225 Put 26,750.00 14/01/2022 (14.00) EUR 89,078.78 (5,559.19) Banco Santander S.A. EUR EURO-BUXL Call 214.00 21/01/2022 (8.00) EUR 173,931.36 (5,280.00) Banco Santander S.A. USD S&P 500 INDEX Put 4,550.00 21/01/2022 (4.00) EUR 226,180.03 (5,276.12) Banco Santander S.A. EUR LONG-TERM EURO-BTP Call 150.50 21/01/2022 (25.00) EUR 437,886.66 (5,000.00) Banco Santander S.A. USD SWAPTION - SOP Call 0.60 23/06/2022 (22,600,000.00) EUR 1,596,360.22 (4,979.57) Goldman Sachs International EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.10 24/02/2022 (6,800,000.00) EUR 545,854.93 (4,360.90) Morgan Stanley & Co.



260

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value EUR

Counterparty

EUR CAC 40 Put 6,200.00 21/01/2022 (60.00) EUR 4,291.82 (3,732.00) Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Put 80.00 25/01/2022 (6,500,000.00) EUR 213,262.39 (3,711.56) Morgan Stanley & Co.

EUR EURO-BOBL Call 134.75 21/01/2022 (184.00) EUR 664,821.89 (3,680.00) Banco Santander S.A. USD S&P 500 INDEX Put 3,600.00 14/04/2022 (2.00) EUR 42,722.89 (3,605.35) Banco Santander S.A. USD SWAPTION - SOP Put 6.00 06/12/2059 (600,000.00) EUR 7,784.06 (3,328.33) Goldman Sachs International USD FOREIGN EXCHANGE

OPTION - FXO Call 76.25 08/02/2022 (2,500,000.00) EUR 1,099,652.97 (3,166.46) BOFA Securities Europe S.A.


Put 1.12 18/01/2022 (8,900,000.00) EUR 1,354,646.17 (2,977.15) Morgan Stanley & Co.


Call 117.00 24/01/2022 (5,100,000.00) EUR 527,351.43 (2,933.66) Nomura Intl Plc

USD S&P 500 INDEX Put 3,750.00 18/03/2022 (2.00) EUR 39,372.08 (2,602.88) Banco Santander S.A. AUD FOREIGN EXCHANGE

OPTION - FXO Put 1.03 15/02/2022 (6,800,000.00) EUR 288,981.73 (2,572.01) J.P. Morgan AG


Call 77.75 18/02/2022 (3,600,000.00) EUR 792,848.71 (2,175.56) BOFA Securities Europe S.A.


Put 0.01 19/01/2022 (30,000,000.00) EUR 26,364,000.00 (2,033.94) BOFA Securities Europe S.A.


Call 116.50 02/03/2022 (500,000.00) EUR 123,407.25 (1,851.71) Goldman Sachs International

AUD S&P/ASX 200 INDEX Put 6,700.00 20/01/2022 (47.00) EUR 62,584.39 (1,712.77) Banco Santander S.A. USD S&P 500 INDEX Put 1,500.00 16/12/2022 (2.00) EUR 6,701.63 (1,547.66) Banco Santander S.A. CHF SWISS MARKET INDEX Put 12,000.00 21/01/2022 (9.00) EUR 58,763.10 (1,424.49) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 1.05 18/01/2022 (8,900,000.00) EUR 436,614.32 (1,260.61) Calyon

USD S&P 500 INDEX Put 3,800.00 18/02/2022 (2.00) EUR 25,131.11 (1,220.54) Banco Santander S.A. USD FOREIGN EXCHANGE

OPTION - FXO Put 112.50 02/03/2022 (500,000.00) EUR 82,367.68 (1,178.90) Goldman Sachs International


Call 10.40 18/01/2022 (1,600,000.00) EUR 47,475.10 (1,178.08) Nomura Intl Plc




Put 1.12 18/01/2022 (2,800,000.00) EUR 826,316.55 (936.63) Citigroup Global Markets


Put 110.00 24/01/2022 (10,200,000.00) EUR 357,087.44 (532.49) Nomura Intl Plc


Put 9.85 11/02/2022 (4,400,000.00) EUR 21.50 (366.96) BOFA Securities Europe S.A.

USD RUSSEL 2000 INDEX Put 2,120.00 31/12/2021 (40.00) EUR 23,678.17 (211.04) Banco Santander S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Put 1.42 06/01/2022 (600,000.00) EUR 592,721.79 (148.48) BOFA Securities Europe S.A.


Put 1.11 20/01/2022 (900,000.00) EUR 56,710.95 (135.03) Goldman Sachs International

AUD SWAPTION - SOP Call 0.15 21/11/2022 (5,000,000.00) EUR 499,890.52 (58.59) BOFA Securities Europe S.A. EUR FOREIGN EXCHANGE

OPTION - FXO Call 1.47 06/01/2022 (600,000.00) EUR 0.00 (29.20) BOFA Securities Europe S.A.


Call 17.05 04/01/2022 (2,400,000.00) EUR 0.00 (2.06) JP Morgan Securities Plc

Total (3,251,870.79)

As at December 31, 2021, SANTANDER GO DYNAMIC BOND has entered into the following option contracts: Ccy

Description

Put/call

Strike price

Maturity

Quantity bought

Market value USD

Counterparty

USD SWAPTION - SOP Call 2.06 25/10/2023 1,600,000.00 102,366.44 Bank of America USD SWAPTION - SOP Call 2.10 15/09/2023 1,000,000.00 58,340.79 Morgan Stanley Capital

Services USD SWAPTION - SOP Call 2.28 29/06/2023 1,300,000.00 53,491.17 Bank of America Total 214,198.40



261

Ccy

Description

Put/call

Strike price

Maturity

Quantity sold

Commitment

Market value USD

Counterparty

USD SWAPTION - SOP Put 2.00 25/10/2023 (8,000,000.00) USD 2,836,058.70 (115,829.97) Bank of America USD SWAPTION - SOP Put 1.96 15/09/2023 (5,000,000.00) USD 1,815,643.13 (72,336.28) Morgan Stanley Capital

Services USD SWAPTION - SOP Put 1.27 02/11/2022 (27,300,000.00) USD 20,184,959.75 (70,477.81) Goldman Sachs Bank USD SWAPTION - SOP Put 2.11 29/06/2023 (6,400,000.00) USD 1,886,811.26 (69,085.97) Bank of America USD SWAPTION - SOP Call 0.87 02/11/2022 (27,300,000.00) USD 12,699,999.09 (27,370.65) Goldman Sachs Bank GBP SWAPTION - SOP Put 0.50 07/02/2022 (5,300,000.00) USD 6,870,930.50 (26,282.88) Goldman Sachs Bank CAD SWAPTION - SOP Call 1.75 20/01/2022 (2,900,000.00) USD 2,291,403.29 (10,999.02) Royal Bank of Canada USD BOND OPTION - BOP Put 1.04 06/01/2022 (1,100,000.00) USD 1,100,000.00 (6,359.46) JP Morgan Chase Bank USD BOND OPTION - BOP Put 1.02 06/01/2022 (700,000.00) USD 700,000.00 (2,887.19) JP Morgan Chase Bank USD BOND OPTION - BOP Call 1.00 07/03/2022 (1,300,000.00) USD 1,300,000.00 (2,382.13) JP Morgan USD BOND OPTION - BOP Put 0.99 07/02/2022 (700,000.00) USD 700,000.00 (2,125.95) JP Morgan Chase Bank EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.01 16/03/2022 (2,600,000.00) USD 2,958,579.88 (1,377.28) Barclays Bank Plc


Put 0.01 16/03/2022 (3,400,000.00) USD 3,868,912.15 (1,292.91) Barclays Bank Plc

USD BOND OPTION - BOP Call 1.00 07/02/2022 (600,000.00) USD 600,000.00 (1,234.84) JP Morgan Chase Bank EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.04 16/02/2022 (1,100,000.00) USD 1,251,706.87 (1,045.99) Barclays Bank Plc


Put 0.01 16/03/2022 (2,100,000.00) USD 2,100,000.00 (744.45) Goldman Sachs Bank


Put 0.01 16/03/2022 (1,500,000.00) USD 1,706,873.01 (570.40) JP Morgan Chase Bank


Put 0.01 16/03/2022 (1,300,000.00) USD 1,479,289.94 (494.35) Bank of America


Put 0.01 20/04/2022 (800,000.00) USD 800,000.00 (492.88) Goldman Sachs Bank


Put 0.01 16/03/2022 (1,200,000.00) USD 1,365,498.41 (456.32) Barclays Bank Plc

USD BOND OPTION - BOP Call 1.01 07/02/2022 (700,000.00) USD 700,000.00 (451.05) JP Morgan Chase Bank EUR CREDIT DEFAULT SWAP

INDEX OPTION Put 0.04 19/01/2022 (1,500,000.00) USD 1,706,873.01 (449.39) Barclays Bank Plc


Put 0.01 20/04/2022 (700,000.00) USD 700,000.00 (431.27) JP Morgan Securities Plc


Put 0.01 16/02/2022 (1,600,000.00) USD 1,600,000.00 (371.20) Bank of America


Put 0.01 20/04/2022 (600,000.00) USD 600,000.00 (369.66) Morgan Stanley Capital Services




Put 0.01 16/03/2022 (1,000,000.00) USD 1,137,915.34 (310.36) Barclays Bank Plc


Put 0.04 19/01/2022 (1,000,000.00) USD 1,137,915.34 (299.59) JP Morgan Securities Plc


Put 0.01 16/03/2022 (800,000.00) USD 800,000.00 (247.52) JP Morgan Securities Plc


Put 0.01 16/03/2022 (800,000.00) USD 800,000.00 (247.52) Barclays Bank Plc


Put 0.01 16/03/2022 (1,000,000.00) USD 1,000,000.00 (245.90) Goldman Sachs Bank


Put 0.01 16/03/2022 (600,000.00) USD 600,000.00 (147.54) Morgan Stanley Capital Services


Put 0.01 19/01/2022 (5,300,000.00) USD 5,300,000.00 (129.32) Morgan Stanley Capital Services






Put 1.01 19/01/2022 (600,000.00) USD 600,000.00 (40.14) Bank of America




Put 0.01 19/01/2022 (400,000.00) USD 455,166.14 (21.30) Bank of America

USD BOND OPTION - BOP Call 1.01 06/01/2022 (600,000.00) USD 600,000.00 (20.64) JP Morgan Chase Bank USD CREDIT DEFAULT SWAP

INDEX OPTION Put 0.01 19/01/2022 (1,400,000.00) USD 1,400,000.00 (19.74) Goldman Sachs Bank





Total (418,187.69)



262

Note 14 - Credit Default Swap contracts As at December 31, 2021, SANTANDER GO ABSOLUTE RETURN has entered into the following credit default swap contracts:

Nominal Amount

Ccy Reference Entity Buy/Sell Interest (Paid)/

Received

Maturity Market Value EUR

Unrealised gain/(loss)

EUR

Counterparty

8,000,000 EUR CDI Sell 5.000% 20/12/2025 953,456.54 953,456.54 BOFA Securities Europe S.A. 7,500,000 EUR CDI Sell 5.000% 20/12/2025 893,865.50 893,865.50 BNP Paribas S.A. 8,000,000 USD CDI Sell 5.000% 20/12/2026 653,652.25 653,652.25 Goldman Sachs International 3,600,000 USD CDS Buy 5.000% 20/12/2025 601,776.37 601,776.37 JP Morgan 6,500,000 EUR CDI Sell 1.000% 20/06/2026 170,418.51 170,418.51 Citigroup Global Markets

820,000,000 JPY CDI Sell 1.000% 20/12/2026 169,785.72 169,785.72 Goldman Sachs International 3,600,000 USD CDS Buy 1.000% 20/12/2026 149,133.03 149,133.03 Morgan Stanley & Co. 5,000,000 EUR CDI Sell 1.000% 20/12/2025 131,417.16 131,417.16 BOFA Securities Europe S.A. 4,000,000 EUR CDI Sell 1.000% 20/12/2025 105,133.73 105,133.73 BOFA Securities Europe S.A. 1,800,000 USD CDS Buy 5.000% 20/12/2026 74,566.51 74,566.51 JP Morgan 4,500,000 USD CDI Sell 5.000% 20/06/2023 46,514.91 46,514.91 Goldman Sachs International 1,000,000 EUR CDS Sell 5.000% 20/12/2026 42,141.67 42,141.67 Goldman Sachs International

500,000 EUR CDS Sell 5.000% 20/06/2026 28,120.43 28,120.43 JP Morgan 1,500,000 USD CDI Sell 1.000% 20/06/2025 25,481.71 25,481.71 BOFA Securities Europe S.A.

600,000 USD CDS Buy 1.000% 20/12/2025 14,401.09 14,401.09 BOFA Securities Europe S.A. 500,000 EUR CDS Sell 1.000% 20/12/2025 7,300.97 7,300.97 Goldman Sachs International 600,000 USD CDS Buy 1.000% 20/12/2026 5,950.86 5,950.86 Morgan Stanley & Co.

1,100,000 USD CDS Buy 1.000% 20/12/2026 (5,192.44) (5,192.44) Morgan Stanley & Co. 700,000 EUR CDS Buy 5.000% 20/06/2026 (8,014.74) (8,014.74) Morgan Stanley & Co. 400,000 EUR CDS Buy 1.000% 20/12/2025 (8,769.33) (8,769.33) Goldman Sachs International 700,000 USD CDS Buy 1.000% 20/06/2026 (9,217.40) (9,217.40) Goldman Sachs International 700,000 USD CDS Buy 1.000% 20/06/2026 (10,427.44) (10,427.44) JP Morgan Securities Plc 700,000 EUR CDS Sell 1.000% 20/12/2026 (12,053.91) (12,053.91) Goldman Sachs International 700,000 EUR CDS Buy 1.000% 20/06/2026 (12,973.33) (12,973.33) Goldman Sachs International 700,000 EUR CDS Buy 1.000% 20/06/2026 (13,480.83) (13,480.83) Morgan Stanley & Co. 700,000 EUR CDS Buy 1.000% 20/06/2026 (14,332.87) (14,332.87) Morgan Stanley & Co. 700,000 EUR CDS Buy 1.000% 20/06/2026 (14,613.50) (14,613.50) Goldman Sachs International 700,000 EUR CDS Buy 1.000% 20/06/2026 (15,398.48) (15,398.48) Goldman Sachs International 700,000 USD CDS Buy 1.000% 20/06/2026 (16,149.08) (16,149.08) Morgan Stanley & Co. 700,000 EUR CDS Buy 1.000% 20/06/2026 (17,633.51) (17,633.51) Goldman Sachs International 700,000 EUR CDS Buy 1.000% 20/06/2026 (18,722.92) (18,722.92) JP Morgan Securities Plc 700,000 EUR CDS Buy 1.000% 20/06/2026 (19,010.83) (19,010.83) JP Morgan Securities Plc 700,000 EUR CDS Buy 1.000% 20/06/2026 (22,896.81) (22,896.81) JP Morgan Securities Plc 700,000 EUR CDS Buy 5.000% 20/06/2026 (117,778.20) (117,778.20) JP Morgan Securities Plc

5,000,000 EUR CDI Buy 1.000% 20/06/2025 (117,873.66) (117,873.66) Citigroup Global Markets 5,000,000 USD CDS Buy 1.000% 20/12/2026 (127,461.89) (127,461.89) Morgan Stanley & Co.

700,000 EUR CDS Buy 5.000% 20/06/2026 (140,530.37) (140,530.37) JP Morgan Securities Plc 7,500,000 USD CDI Buy 1.000% 20/12/2025 (159,468.87) (159,468.87) BOFA Securities Europe S.A. 2,300,000 USD CDI Buy 5.000% 20/12/2025 (179,058.13) (179,058.13) Goldman Sachs International 8,000,000 EUR CDI Buy 1.000% 20/06/2026 (209,745.86) (209,745.86) BOFA Securities Europe S.A.

10,000,000 EUR CDI Buy 1.000% 20/06/2026 (262,182.33) (262,182.33) Morgan Stanley & Co. 5,000,000 USD CDI Buy 5.000% 20/12/2025 (389,256.81) (389,256.81) Goldman Sachs International

Total 2,150,873.42 2,150,873.42

As at December 31, 2021, SANTANDER GO DYNAMIC BOND has entered into the following credit default swap contracts:

Nominal Amount


Received

Maturity Market Value USD


USD

Counterparty

1,100,000 USD CDI Sell 5.000% 20/12/2026 101,230.56 101,230.56 Morgan Stanley & Co. Incorporated

600,000 USD CDS Sell 5.000% 20/12/2025 101,217.29 101,217.29 Morgan Stanley & Co. Incorporated

400,000 EUR CDS Sell 5.000% 20/6/2026 81,614.69 81,614.69 Morgan Stanley & Co. Incorporated


200,000 EUR CDS Sell 1.000% 20/12/2026 43,489.01 43,489.01 JP Morgan Chase Bank 1,500,000 USD CDI Sell 1.000% 20/12/2026 36,665.93 36,665.93 Morgan Stanley & Co.

Incorporated



263

Nominal Amount


Received



USD

Counterparty

1,500,000 USD CDI Sell 5.000% 20/12/2026 36,665.93 36,665.93 Morgan Stanley & Co. Incorporated


900,000 USD CDI Sell 1.000% 20/12/2026 21,999.56 21,999.56 Morgan Stanley & Co. Incorporated

900,000 USD CDI Sell 5.000% 20/12/2026 21,999.56 21,999.56 Morgan Stanley & Co. Incorporated

100,000 EUR CDS Sell 1.000% 20/12/2026 21,744.51 21,744.51 JP Morgan Chase Bank 700,000 USD CDI Sell 5.000% 20/12/2026 17,110.77 17,110.77 Morgan Stanley & Co.

Incorporated 100,000 USD CDS Sell 1.000% 20/12/2025 17,101.10 17,101.10 Morgan Stanley & Co.

Incorporated 500,000 USD CDI Sell 1.000% 20/12/2026 12,221.98 12,221.98 Morgan Stanley & Co.










Incorporated 300,000 EUR CDS Sell 1.000% 20/06/2028 2,789.62 2,789.62 Morgan Stanley & Co.




Incorporated 200,000 EUR CDS Sell 1.000% 20/06/2028 1,859.75 1,859.75 Morgan Stanley & Co.

Incorporated 300,000 USD CDS Sell 1.000% 20/12/2026 1,571.54 1,571.54 Morgan Stanley Capital

Services 300,000 EUR CDS Sell 1.000% 20/06/2028 1,277.96 1,277.96 Morgan Stanley & Co.

Incorporated 100,000 EUR CDS Sell 1.000% 20/06/2028 929.88 929.88 Morgan Stanley & Co.



Incorporated 100,000 USD CDS Sell 1.000% 20/12/2024 (1,089.56) (1,089.56) BNP-Paribas S.A. 200,000 USD CDS Sell 1.000% 20/12/2024 (1,791.79) (1,791.79) Barclays Bank Plc 200,000 EUR CDS Sell 1.000% 20/06/2026 (2,110.59) (2,110.59) Morgan Stanley & Co.

Incorporated 200,000 EUR CDS Sell 1.000% 20/06/2026 (2,110.59) (2,110.59) Morgan Stanley & Co.

Incorporated 200,000 USD CDS Sell 1.000% 20/12/2024 (2,539.15) (2,539.15) Bank of America 100,000 USD CDI Sell 1.000% 20/12/2026 (4,040.14) (4,040.14) Morgan Stanley & Co.

Incorporated 100,000 USD CDI Sell 1.000% 20/12/2026 (4,040.14) (4,040.14) Morgan Stanley & Co.

Incorporated 100,000 USD CDI Sell 1.000% 20/12/2026 (4,040.14) (4,040.14) Morgan Stanley & Co.

Incorporated 200,000 USD CDS Sell 1.000% 20/12/2025 (5,094.17) (5,094.17) Goldman Sachs Bank USA 200,000 USD CDS Sell 1.000% 20/12/2025 (5,485.21) (5,485.21) Bank of America 300,000 USD CDS Sell 1.000% 20/12/2025 (7,982.50) (7,982.50) BNP-Paribas S.A.



264

Nominal Amount


Received



USD

Counterparty

200,000 USD CDI Sell 1.000% 20/12/2026 (8,080.29) (8,080.29) Morgan Stanley & Co. Incorporated








Total 499,597.05 499,597.05

Note 15 - Interest rate swap contracts As at December 31, 2021, SANTANDER GO ABSOLUTE RETURN has entered into the following interest rate swap contracts:

Nominal Amount

Ccy Maturity Description Interest rate received

Interest rate paid


EUR

Counterparty

15,000,000 EUR 15/04/2025 HIC HICPXT 1M 1.234% 763,916.27 Goldman Sachs International 10,000,000 EUR 15/04/2024 HIC HICPXT 1M 1.114% 476,725.05 JP Morgan Securities Plc 8,000,000 USD 07/04/2026 USCPI USCPI 1M 2.532% 473,648.54 BOFA Securities Europe S.A. 5,000,000 EUR 15/04/2031 HIC HICPXT 1M 1.387% 432,164.95 Goldman Sachs International

32,000,000 PLN 08/10/2026 IRS WIBOR 6M 2.220% 400,846.51 Morgan Stanley & Co. 11,000,000 EUR 15/06/2024 HIC HICPXT 1M 1.442% 390,687.36 Goldman Sachs International 9,000,000 USD 23/06/2025 USCPI USCPI 1M 2.610% 381,353.91 Goldman Sachs International 5,000,000 EUR 15/04/2028 HIC HICPXT 1M 1.334% 337,447.02 JP Morgan Securities Plc 4,800,000 EUR 15/06/2022 HIC HICPXT 1M 0.229% 266,127.97 Goldman Sachs International 9,000,000 USD 24/08/2025 USCPI USCPI 1M 2.654% 264,949.90 BOFA Securities Europe S.A. 3,400,000 USD 09/04/2022 USCPI USCPI 1M 0.190% 248,606.11 BOFA Securities Europe S.A. 3,400,000 EUR 15/09/2023 HIC HICPXT 1M 0.518% 247,046.32 Goldman Sachs International 2,700,000 EUR 15/08/2024 HIC HICPXT 1M 0.824% 177,576.63 Goldman Sachs International 3,500,000 USD 31/01/2022 USCPI USCPI 1M 1.441% 158,258.06 JP Morgan Securities Plc 3,000,000 USD 05/06/2022 USCPI USCPI 1M 1.710% 155,383.80 Nomura International Plc

900,000 USD 12/08/2035 USCPI USCPI 1M 1.885% 150,462.56 Goldman Sachs International 200,000 GBP 21/05/2060 RPI UKRPI 1M 2.719% 142,948.13 BOFA Securities Europe S.A.

1,100,000 USD 26/01/2051 USCPI USCPI 1M 2.310% 140,961.37 Goldman Sachs International 90,000,000 CZK 15/10/2026 IRS PRIBOR 6M 2.960% 128,948.96 Morgan Stanley & Co. 43,000,000 PLN 08/11/2023 IRS WIBOR 6M 2.925% 124,476.45 Morgan Stanley & Co. 1,200,000 EUR 15/12/2029 HIC HICPXT 1M 1.132% 112,174.63 Goldman Sachs International

17,300,000 EUR 24/05/2026 IRS EURIBOR 6M (0.023%) 109,222.09 BOFA Securities Europe S.A. 400,000 USD 12/08/2050 USCPI USCPI 1M 1.898% 107,193.67 BOFA Securities Europe S.A.

79,000,000 CNY 15/10/2026 NDIRS 2.551% CFXS 1W 98,763.57 BOFA Securities Europe S.A. 1,800,000 GBP 11/11/2051 OIS SONIA 1D 0.653% 98,340.71 BOFA Securities Europe S.A. 3,600,000 AUD 24/11/2041 IRS 2.382% BBR 6M 98,146.22 BOFA Securities Europe S.A.

500,000 EUR 20/10/2050 IRS EURIBOR 6M (0.087%) 78,133.02 BOFA Securities Europe S.A. 800,000 GBP 17/08/2071 OIS SONIA 1D (0.465%) 77,701.21 Morgan Stanley & Co.

4,800,000 CAD 30/11/2041 IRS 2.295% BA 3M 77,246.86 Citigroup Global Markets 4,000,000 EUR 03/12/2031 OIS ESTR 1D (0.086%) 73,182.22 Goldman Sachs International 6,000,000 EUR 15/12/2026 HIC 2.090% HICPXT 1M 65,407.53 Citigroup Global Markets

49,000,000 CNY 16/07/2026 NDIRS 2.561% CFXS 1W 65,405.86 BOFA Securities Europe S.A. 81,000,000 CNY 15/11/2026 NDIRS 2.480% CFXS 1W 63,423.93 BOFA Securities Europe S.A. 6,200,000 GBP 10/11/2026 OIS SONIA 1D 0.861% 59,142.04 BOFA Securities Europe S.A. 4,700,000 GBP 15/11/2025 RPI 5.015% UKRPI 1M 57,758.19 Goldman Sachs International

52,000,000 CNY 13/09/2026 NDIRS 2.532% CFXS 1W 56,643.74 UBS AG 2,500,000 CAD 23/11/2041 IRS 2.335% BA 3M 52,574.14 JP Morgan Securities Plc

200,000 EUR 02/06/2070 IRS EURIBOR 6M (0.155%) 44,917.04 BOFA Securities Europe S.A. 22,500,000 CNY 21/01/2026 NDIRS 2.685% CFXS 1W 44,124.60 JP Morgan Chase Bank 2,000,000 CHF 11/11/2051 OIS SARON 1D 0.058% 39,196.99 Goldman Sachs International

400,000 GBP 17/08/2071 OIS SONIA 1D 0.465% 38,850.61 Morgan Stanley & Co. 1,200,000 GBP 23/07/2026 OIS SONIA 1D 0.420% 38,207.73 BOFA Securities Europe S.A.



265

Nominal Amount


Interest rate paid


EUR

Counterparty

49,700,000 CNY 05/08/2026 NDIRS 2.475% CFXS 1W 37,579.91 Goldman Sachs International 200,000 EUR 26/06/2070 IRS EURIBOR 6M (0.022%) 33,179.66 BOFA Securities Europe S.A.

8,225,252 BRL 03/01/2022 OIS 4.860% CDI 1D 33,153.81 BOFA Securities Europe S.A. 1,400,000 GBP 27/09/2026 OIS SONIA 1D 0.597% 32,957.77 BOFA Securities Europe S.A. 4,000,000 SGD 15/08/2022 IRS 1.543% SOR 6M 31,750.64 Nomura International Plc

16,000,000 NOK 24/12/2051 IRS NIBOR 6M 1.660% 31,170.50 Goldman Sachs International 14,700,000 NZD 10/11/2023 IRS 2.192% BBR 3M 30,600.82 Morgan Stanley & Co. 14,900,000 EUR 01/06/2024 OIS ESTR 1D (0.438%) 29,394.55 BOFA Securities Europe S.A. 2,900,000 GBP 18/10/2026 OIS SONIA 1D 0.840% 29,232.12 BOFA Securities Europe S.A.

56,400,000 CNY 21/01/2023 NDIRS 2.491% CFXS 1W 29,101.59 Goldman Sachs International 7,300,000 NZD 22/11/2023 IRS 2.373% BBR 3M 27,276.72 Morgan Stanley & Co.

300,000 GBP 01/12/2071 OIS SONIA 1D 0.504% 23,667.23 Citigroup Global Markets 35,000,000 SEK 30/09/2031 IRS STIBOR 3M 0.866% 23,194.09 Goldman Sachs International 1,100,000 EUR 12/03/2031 IRS EURIBOR 6M 0.029% 22,453.03 Morgan Stanley & Co. 6,300,000 GBP 03/12/2026 OIS SONIA 1D 0.978% 21,772.89 Goldman Sachs International 4,900,000 CAD 07/02/2022 IRS 1.743% BA 3M 21,740.74 Goldman Sachs International

200,000 GBP 11/11/2071 OIS SONIA 1D 0.449% 21,127.53 Morgan Stanley & Co. 100,000 EUR 24/09/2070 IRS EURIBOR 6M (0.113%) 20,518.64 BOFA Securities Europe S.A.

1,300,000 EUR 29/03/2051 IRS EURIBOR 6M 0.420% 18,451.30 BOFA Securities Europe S.A. 1,500,000 GBP 22/10/2031 OIS 1.039% SONIA 1D 17,947.18 BOFA Securities Europe S.A.

690,000,000 JPY 20/09/2031 OIS TONAR 1D 0.035% 17,071.01 Goldman Sachs International 1,000,000 EUR 01/04/2031 IRS EURIBOR 6M 0.084% 15,593.43 Morgan Stanley & Co.

40,000,000 NOK 23/11/2026 IRS NIBOR 6M 1.774% 13,390.44 Morgan Stanley & Co. 3,800,000 CHF 12/03/2031 OIS 0.083% SARON 1D 11,550.01 Goldman Sachs International

765,000,000 JPY 06/07/2026 OIS TONAR 1D (0.060%) 10,928.01 BOFA Securities Europe S.A. 200,000 GBP 29/10/2071 OIS SONIA 1D 0.561% 10,114.53 Morgan Stanley & Co.

7,300,000 NOK 17/06/2024 IRS 1.800% NIBOR/6M 9,172.03 Citigroup Global Markets 694,000,000 JPY 01/12/2031 OIS TONAR 1D 0.060% 7,320.20 Goldman Sachs International

600,000 GBP 26/11/2051 OIS SONIA 1D 0.790% 7,130.87 Morgan Stanley & Co. 200,000 GBP 12/07/2026 OIS SONIA/1D 0.366% 6,933.93 BOFA Securities Europe S.A.

1,500,000 CHF 17/02/2031 OIS 0.080% SARON 1D 5,377.40 Goldman Sachs International 179,000,000 NOK 10/11/2023 IRS 1.550% NIBOR 6M 5,170.70 Goldman Sachs International

61,500,000 INR 06/02/2025 OIS 5.186% MIBOR 1D 5,076.51 Goldman Sachs International 1,390,000,000 JPY 09/11/2026 OIS TONAR 1D (0.025%) 5,050.61 Morgan Stanley & Co.

235,000,000 JPY 09/11/2031 OIS TONAR 1D 0.054% 3,196.53 Goldman Sachs International 117,000,000 INR 23/09/2024 NDIRS 5.030% MIBOR 1D 3,111.77 Nomura International Plc

9,500,000 CHF 18/11/2023 OIS (0.554%) SARON 1D 2,922.11 Goldman Sachs International 1,500,000 CHF 17/02/2031 OIS 0.055% SARON 1D 1,955.76 Goldman Sachs International

300,000,000 JPY 09/03/2036 OIS TONAR 1D 0.176% 1,410.13 Goldman Sachs International 900,000,000 JPY 09/03/2026 OIS (0.021%) TONAR 1D 395.98 Goldman Sachs International

200,000 USD 18/02/2051 IRS 1.702% LIBOR 3M 181.44 Goldman Sachs International 200,000 GBP 29/10/2071 OIS SONIA 1D 0.665% (109.30) JP Morgan Securities Plc 500,000 CHF 17/02/2051 OIS SARON 1D 0.140% (273.83) Goldman Sachs International 500,000 CHF 17/02/2051 OIS SARON 1D 0.146% (1,111.26) Goldman Sachs International

138,000,000 JPY 17/09/2026 OIS (0.045%) TONAR 1D (1,450.79) BOFA Securities Europe S.A. 100,000 GBP 14/02/2051 OIS SONIA 1D 0.890% (2,535.48) BOFA Securities Europe S.A.

420,000,000 JPY 30/09/2031 OIS TONAR 1D 0.077% (2,681.66) BOFA Securities Europe S.A. 600,000 GBP 15/09/2051 RPI 3.537% UKRPI 1M (3,065.08) BOFA Securities Europe S.A.

21,000,000 EUR 02/11/2023 OIS (0.342%) ESTR 1D (3,806.39) JP Morgan Securities Plc 3,800,000 CHF 29/11/2031 OIS SARON 1D 0.094% (4,155.93) Goldman Sachs International

13,000,000 SEK 25/11/2041 IRS 1.165% STIBOR 3M (4,906.74) Goldman Sachs International 40,000,000 NOK 17/11/2031 IRS NIBOR 6M 1.901% (4,949.06) Goldman Sachs International

2,150,000,000 KRW 17/02/2023 NDIRS 1.250% KSDA 3M (6,046.00) BOFA Securities Europe S.A. 4,000,000 CAD 01/06/2029 IRS 1.815% BA 3M (6,101.26) Goldman Sachs International

600,000 GBP 15/09/2051 OIS SONIA 1D 0.856 (6,142.65) BOFA Securities Europe S.A. 38,000,000 SEK 17/11/2031 IRS 0.934% STIBOR 3M (7,303.55) Goldman Sachs International

1,530,000,000 JPY 04/11/2026 OIS TONAR 1D (0.003%) (7,397.53) Goldman Sachs International 7,300,000 NOK 17/06/2024 IRS NIBOR 6M 1.740% (7,889.78) BNP Paribas London

135,000,000 JPY 06/07/2051 OIS 0.455% TONAR 1D (13,127.57) Goldman Sachs International 14,200,000 AUD 18/11/2023 IRS BBR 6M 0.966% (18,020.61) Goldman Sachs International 4,500,000 GBP 07/12/2030 OIS 0.906% SONIA 1D (20,091.13) BOFA Securities Europe S.A. 3,700,000 USD 11/02/2022 IRS 1.405% USCPI 1M (22,642.10) Goldman Sachs International

27,400,000 CAD 20/12/2023 IRS 1.430% BA 3M (25,409.25) BOFA Securities Europe S.A. 36,000,000 SEK 10/11/2031 IRS 0.875% STIBOR 3M (25,898.33) Morgan Stanley & Co.

4,934,000,000 KRW 15/10/2026 NDIRS KSDA 3M 0.953% (26,927.46) BOFA Securities Europe S.A. 180,000,000 INR 27/01/2026 NDIRS 4.730% IBOR 1D (31,577.68) Morgan Stanley & Co.

7,100,000 GBP 18/10/2023 OIS 0.712% SONIA 1D (31,728.72) BOFA Securities Europe S.A. 1,800,000 GBP 08/03/2031 OIS 0.719% SONIA 1D (32,396.22) BOFA Securities Europe S.A.

500,000 EUR 20/10/2050 OIS 0.108% ESTR 1D (36,966.80) BOFA Securities Europe S.A. 7,500,000 EUR 25/05/2031 OIS 0.010% ESTR 1D (42,337.14) Goldman Sachs International 6,900,000 CHF 11/11/2031 OIS 0.005% SARON 1D (48,832.58) Goldman Sachs International



266

Nominal Amount


Interest rate paid


EUR

Counterparty

9,800,000 NZD 10/11/2031 IRS BBR 3M 2.700% (49,360.80) Morgan Stanley & Co. 9,000,000 SEK 23/08/2041 IRS 0.830% STIBOR 3M (53,685.43) Morgan Stanley & Co. 1,800,000 EUR 01/12/2041 OIS 0.240% ESTR 1D (55,882.07) BOFA Securities Europe S.A. 1,800,000 CAD 23/11/2051 IRS BA 3M 2.295% (62,583.05) JP Morgan Securities Plc

15,300,000 GBP 10/11/2023 OIS 0.766% SONIA 1D (63,846.96) BOFA Securities Europe S.A. 4,000,000 CHF 03/12/2031 OIS (0.078%) SARON 1D (63,952.60) Goldman Sachs International 4,900,000 GBP 11/11/2031 OIS 0.820% SONIA 1D (65,494.09) BOFA Securities Europe S.A.

600,000 USD 09/04/2030 USCPI 1.405% USCPI 1M (92,162.90) BOFA Securities Europe S.A. 1,300,000 EUR 29/03/2051 OIS 0.095% ESTR 1D (101,243.91) BOFA Securities Europe S.A. 3,300,000 AUD 24/11/2051 IRS BBR 6M 2.270% (113,714.01) BOFA Securities Europe S.A.

21,400,000 USD 24/05/2026 IRS 1.387% LIBOR 3M (114,623.58) BOFA Securities Europe S.A. 21,400,000 AUD 22/10/2026 IRS 1.363% BBR 6M (143,404.21) Morgan Stanley & Co. 1,300,000 USD 12/08/2030 USCPI 1.850% USCPI 1M (173,625.59) BOFA Securities Europe S.A. 4,300,000 NZD 29/04/2031 IRS 1.766% BBR 3M (181,156.10) Morgan Stanley & Co.

25,000,000 EUR 09/10/2026 OIS (0.320%) ESTR 1D (190,900.48) Goldman Sachs International 1,700,000 GBP 21/05/2030 RPI 3.311% UKRPI 1M (242,453.55) BOFA Securities Europe S.A. 9,000,000 GBP 17/08/2026 OIS 0.458% SONIA 1D (273,346.12) Morgan Stanley & Co. 4,300,000 USD 12/08/2023 USCPI 1.683% USCPI 1M (330,879.27) Goldman Sachs International 5,000,000 USD 26/01/2026 USCPI 2.290% USCPI 1M (359,277.44) Goldman Sachs International 5,400,000 USD 26/06/2022 USCPI 1.228% USCPI 1M (371,819.56) Goldman Sachs International

50,000,000 USD 24/06/2024 IRS 0.718% LIBOR 3M (449,130.53) BOFA Securities Europe S.A.

Total 4,099,192.46

As at December 31, 2021, the SANTANDER GO ABSOLUTE RETURN received the following collateral: SANTANDER GO ABSOLUTE RETURN: (2,210,000) with the broker BNP-PARIBAS SA PARIS and (770,000) with the broker BOFA SECURITIES EUROPE SA FIC. As at December 31, 2021, SANTANDER GO DYNAMIC BOND has entered into the following interest rate swap contracts:

Nominal Amount

Ccy Maturity Description Interest rate

received

Interest rate paid


USD

Counterparty

1,000,000 USD 30/03/2051 IRS LIBOR 3M 1.150% 145,030.29 Morgan Stanley & Co. Incorporated 1,190,000 USD 16/06/2051 IRS LIBOR 3M 1.250% 140,769.07 Morgan Stanley & Co. Incorporated 3,000,000 GBP 16/03/2027 OIS SONIA 1D 0.500% 115,966.50 Morgan Stanley & Co. Incorporated 3,000,000 GBP 16/03/2052 OIS SONIA 1D 0.7500% 113,749.40 Morgan Stanley & Co. Incorporated 1,280,000 USD 30/03/2031 IRS LIBOR 3M 0.750% 89,778.30 Morgan Stanley & Co. Incorporated 2,200,000 GBP 16/03/2027 OIS SONIA 1D 0.500% 85,042.10 Morgan Stanley & Co. Incorporated

330,100,000 THB 15/12/2026 NDIRS THBFIX 6M 1.000% 80,026.22 Goldman Sachs Bank USA 4,613,500,000 KRW 15/12/2026 NDIRS 2.000% KSDA 3M 31,804.80 Morgan Stanley & Co. Incorporated

95,700,000 THB 15/12/2026 NDIRS THBFIX 6M 1.000% 23,200.57 JP Morgan Securities Plc 1,717,300,000 KRW 15/12/2031 NDIRS KSDA 3M 1.750% 13,951.81 Morgan Stanley & Co. Incorporated 1,696,600,000 KRW 15/12/2031 NDIRS KSDA 3M 1.750% 13,783.64 Morgan Stanley & Co. Incorporated 1,823,400,000 KRW 15/12/2026 NDIRS 2.000% KSDA 3M 12,570.26 Morgan Stanley & Co. Incorporated

100,000 USD 16/06/2051 IRS LIBOR 3M 1.250% 11,829.33 Morgan Stanley & Co. Incorporated 43,000,000 THB 15/12/2026 NDIRS THBFIX 6M 1.000% 10,424.50 Bank of America

1,151,300,000 KRW 15/12/2031 NDIRS KSDA 3M 1.750% 9,353.47 Morgan Stanley & Co. Incorporated 1,142,300,000 KRW 15/12/2031 NDIRS KSDA 3M 1.750% 9,280.36 Morgan Stanley & Co. Incorporated

2,800,000 NZD 01/11/2023 IRS 3.000% BBR 3M 7,873.59 Morgan Stanley & Co. Incorporated 100,000 USD 30/03/2031 IRS LIBOR 3M 0.750% 6,820.85 Morgan Stanley & Co. Incorporated

5,800,000 CAD 28/10/2023 IRS 2.060% BA 3M 6,777.78 Morgan Stanley & Co. Incorporated 2,700,000 NZD 15/12/2023 IRS 3.000% BBR 3M 6,397.29 Morgan Stanley & Co. Incorporated

26,100,000 THB 15/12/2026 NDIRS THBFIX 6M 1.000% 6,327.43 Bank of America 4,000,000 CAD 28/10/2023 IRS 2.060% BA 3M 4,674.33 Morgan Stanley & Co. Incorporated 3,700,000 CAD 28/10/2023 IRS 2.060% BA 3M 4,323.75 Morgan Stanley & Co. Incorporated 3,700,000 CAD 28/10/2023 IRS 2.060% BA 3M 4,323.75 Morgan Stanley & Co. Incorporated 1,800,000 NZD 15/12/2023 IRS 3.000% BBR 3M 4,264.86 Morgan Stanley & Co. Incorporated 1,400,000 NZD 01/11/2023 IRS 3.000% BBR 3M 3,936.79 Morgan Stanley & Co. Incorporated 2,800,000 CAD 28/10/2023 IRS 2.060% BA 3M 3,272.03 Morgan Stanley & Co. Incorporated 1,100,000 NZD 01/11/2023 IRS 3.000% BBR 3M 3,093.20 Morgan Stanley & Co. Incorporated 1,100,000 NZD 01/11/2023 IRS 3.000% BBR 3M 3,093.20 Morgan Stanley & Co. Incorporated 1,100,000 NZD 01/11/2023 IRS 3.000% BBR 3M 3,093.20 Morgan Stanley & Co. Incorporated 1,100,000 NZD 01/11/2023 IRS 3.000% BBR 3M 3,093.20 Morgan Stanley & Co. Incorporated 1,300,000 NZD 15/12/2023 IRS 3.000% BBR 3M 3,080.18 Morgan Stanley & Co. Incorporated 1,300,000 NZD 15/12/2023 IRS 3.000% BBR 3M 3,080.18 Morgan Stanley & Co. Incorporated 4,266,255 BRL 02/01/2024 OIS 11.065% CDI 1D 3,077.35 Morgan Stanley & Co. Incorporated 1,000,000 NZD 01/11/2023 IRS 3.000% BBR 3M 2,812.00 Morgan Stanley & Co. Incorporated



267

Nominal Amount

Ccy Maturity Description Interest rate

received

Interest rate paid


USD

Counterparty

1,000,000 NZD 01/11/2023 IRS 3.000% BBR 3M 2,812.00 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 1,100,000 NZD 15/12/2023 IRS 3.000% BBR 3M 2,606.30 Morgan Stanley & Co. Incorporated 2,100,000 CAD 28/10/2023 IRS 2.060% BA 3M 2,454.02 Morgan Stanley & Co. Incorporated

800,000 NZD 01/11/2023 IRS 3.000% BBR 3M 2,249.60 Morgan Stanley & Co. Incorporated 1,900,000 CAD 28/10/2023 IRS 2.060% BA 3M 2,220.31 Morgan Stanley & Co. Incorporated 1,500,000 CAD 28/10/2023 IRS 2.060% BA 3M 1,752.88 Morgan Stanley & Co. Incorporated 1,500,000 CAD 28/10/2023 IRS 2.060% BA 3M 1,752.88 Morgan Stanley & Co. Incorporated 1,500,000 CAD 28/10/2023 IRS 2.060% BA 3M 1,752.88 Morgan Stanley & Co. Incorporated 3,100,000 CAD 14/11/2023 IRS 2.000% BA 3M 1,567.48 Morgan Stanley & Co. Incorporated 1,000,000 CAD 28/10/2023 IRS 2.060% BA 3M 1,168.58 Morgan Stanley & Co. Incorporated 1,044,835 BRL 02/01/2024 OIS 11.148% CDI 1D 1,047.09 Morgan Stanley & Co. Incorporated

700,000 CAD 28/10/2023 IRS 2.060% BA 3M 818.01 Morgan Stanley & Co. Incorporated 200,000 CAD 17/06/2022 IRS 1.500% BA 3M 632.98 Morgan Stanley & Co. Incorporated 200,000 CAD 03/03/2022 IRS 1.270% BA 3M 617.21 Morgan Stanley & Co. Incorporated 200,000 CAD 03/03/2022 IRS 1.270% BA 3M 617.21 Morgan Stanley & Co. Incorporated

1,000,000 CAD 14/11/2023 IRS 2.000% BA 3M 505.63 Morgan Stanley & Co. Incorporated 1,130,273 BRL 02/01/2024 OIS 10.995% CDI 1D 445.82 Morgan Stanley & Co. Incorporated

100,000 CAD 03/03/2022 IRS 1.273% BA 3M 309.58 Morgan Stanley & Co. Incorporated 894,234 BRL 02/01/2024 OIS 10.665% CDI 1D (657.41) Morgan Stanley & Co. Incorporated 100,000 CAD 03/03/2025 IRS 1.276% BA 3M (1,051.01) Morgan Stanley & Co. Incorporated 100,000 CAD 03/03/2025 IRS 1.275% BA 3M (1,053.69) Morgan Stanley & Co. Incorporated

5,920,955 BRL 02/01/2024 OIS 10.833% CDI 1D (1,160.99) Morgan Stanley & Co. Incorporated 100,000 CAD 04/03/2025 IRS 1.235% BA 3M (1,169.42) Morgan Stanley & Co. Incorporated 100,000 CAD 04/03/2025 IRS 1.235% BA 3M (1,169.42) Morgan Stanley & Co. Incorporated 100,000 CAD 04/03/2025 IRS 1.235% BA 3M (1,169.42) Morgan Stanley & Co. Incorporated 100,000 CAD 03/03/2025 IRS 1.220% BA 3M (1,201.04) Morgan Stanley & Co. Incorporated

3,246,379 BRL 02/01/2024 OIS 10.755% CDI 1D (1,412.86) Morgan Stanley & Co. Incorporated 1,163,396 BRL 04/01/2027 OIS 10.206% CDI 1D (1,692.42) Morgan Stanley & Co. Incorporated

13,300,000 THB 15/12/2031 NDIRS 1.500% THBFIX 6M (4,988.42) Bank of America 2,238,300,000 KRW 15/12/2026 NDIRS 1.750% KSDA 3M (7,537.62) Morgan Stanley & Co. Incorporated 2,261,900,000 KRW 15/12/2026 NDIRS 1.750% KSDA 3M (7,617.10) Morgan Stanley & Co. Incorporated

22,100,000 THB 15/12/2031 NDIRS 1.500% THBFIX 6M (8,289.03) Bank of America 3,324,000,000 KRW 15/12/2026 NDIRS 1.750% KSDA 3M (11,193.79) Morgan Stanley & Co. Incorporated 3,351,600,000 KRW 15/12/2026 NDIRS 1.750% KSDA 3M (11,286.73) Morgan Stanley & Co. Incorporated

992,400,000 KRW 15/12/2031 NDIRS KSDA 3M 2.000% (11,713.04) Morgan Stanley & Co. Incorporated 800,000 USD 17/03/2025 IRS 0.613% LIBOR 3M (13,845.86) Morgan Stanley & Co. Incorporated

49,500,000 THB 15/12/2031 NDIRS 1.500% THBFIX 6M (18,565.92) JP Morgan Securities Plc 2,391,200,000 KRW 15/12/2031 NDIRS KSDA 3M 2.000% (28,222.71) Morgan Stanley & Co. Incorporated

1,200,000 CAD 16/06/2026 IRS 1.000% BA 3M (34,240.20) Morgan Stanley & Co. Incorporated 1,200,000 CAD 16/06/2026 IRS 1.000% BA 3M (34,240.20) Morgan Stanley & Co. Incorporated 2,200,000 USD 20/03/2025 IRS 0.622/ LIBOR 3M (37,559.31) Morgan Stanley & Co. Incorporated 1,700,000 CAD 16/06/2026 IRS 1.000% BA 3M (48,506.95) Morgan Stanley & Co. Incorporated 1,700,000 GBP 16/03/2032 OIS 0.750% SONIA 1D (50,199.42) Morgan Stanley & Co. Incorporated

300,000 GBP 15/11/2034 RPI 3.345% UKRPI 1M (55,456.58) Morgan Stanley & Co. Incorporated 2,000,000 CAD 16/06/2026 IRS 1.000% BA 3M (57,067.00) Morgan Stanley & Co. Incorporated 2,100,000 CAD 16/06/2026 IRS 1.000% BA 3M (59,920.34) Morgan Stanley & Co. Incorporated 2,200,000 CAD 16/06/2026 IRS 1.000% BA 3M (62,773.69) Morgan Stanley & Co. Incorporated

170,900,000 THB 15/12/2031 NDIRS 1.500% THBFIX 6M (64,099.32) Goldman Sachs Bank USA 1,300,000 USD 15/12/2051 IRS LIBOR 3M 2.000% (80,728.03) Morgan Stanley & Co. Incorporated

100,000,000 MXN 24/03/2023 IRS 5.660% TIIE 4W (83,458.91) Morgan Stanley & Co. Incorporated 3,500,000 USD 18/02/2026 IRS 0.640% LIBOR 3M (84,846.02) Morgan Stanley & Co. Incorporated 3,000,000 GBP 16/03/2032 OIS 0.750% SONIA 1D (88,587.22) Morgan Stanley & Co. Incorporated

150,000,000 MXN 24/03/2023 IRS 5.660% TIIE 4W (125,188.36) Morgan Stanley & Co. Incorporated 2,200,000 USD 15/12/2051 IRS LIBOR 3M 2.000% (136,616.66) Morgan Stanley & Co. Incorporated

20,688,031 KRW 02/01/2024 OIS 7.790% CDI 1D (182,812.97) Morgan Stanley & Co. Incorporated 33,293,367 KRW 02/01/2023 OIS 7.115% CDI 1D (224,623.77) Morgan Stanley & Co. Incorporated 8,100,000 USD 16/06/2026 IRS 0.500% LIBOR 3M (289,406.41) Morgan Stanley & Co. Incorporated 1,700,000 USD 18/06/2044 IRS LIBOR 3M 3.750% (647,151.47) Morgan Stanley & Co. Incorporated

Total (1,548,930.59)



268

Note 16 - Total Return Swaps As at December 31, 2021, SANTANDER SELECT INCOME has entered into the following total return swap contracts:

Nominal Amount

Ccy Quantitative and qualitative information on underlying basket or reference obligation exposure

Sub-Fund receives

Sub-Fund paid


Counterparty

30,400,000 EUR Financial indices* Index performance* 0.55% Jan 2022 14,250.39 JP Morgan (Germany)

7,100,000 EUR Financial indices* Index performance* 0.55% Jan 2022 3,328.22 JP Morgan (Germany)

56,300,000 EUR Financial indices* Index performance* 0.55% Jan 2022 268.96 JP Morgan (Germany)

7,000,000 EUR Financial indices* Index performance* 0.55% Jan 2022 33.44 JP Morgan (Germany)

700,000 EUR Financial indices* Index performance* 0.55% Jan 2022 3.34 JP Morgan (Germany)

7,200,000 EUR Financial indices* Index performance* 0.55% Jan 2022 (153,484.22) JP Morgan (Germany)



Total (1,128,983.88)

As at December 31, 2021, the collateral received or paid for the purpose of total return swaps are as follows:

Ccy Description Issuer Amount in EUR Collateral value received

EUR FRANCE, OAT 0.500% 25/05/2025 France Government Bond 2,071,454.80 EUR NETHERLANDS, DSL 2.000% 15/07/2024 Netherlands Government Bond 2,932,671.88

Total 5,004,126.68

As at December 31, 2021, the cash collateral received or paid for the purpose of total return swaps is EUR 2,901.17. * The basket of financial indices consists of the following: MSCI EUROPE Momentum Net EUR Index MSCI Europe Net Total Return EUR Index MSCI Europe Minimum Volatility Net Total return Index MSCI EUROPE Quality Net Return EUR Index As at December 31, 2021 SANTANDER GO ABSOLUTE RETURN has entered into the following total return swap contracts:

Nominal Amount

Ccy Quantitative and qualitative information on underlying basket or reference obligation exposure

Sub-Fund receives

Sub-Fund paid


Counterparty

9,000,000 USD Financial indices* Index performance*

0.15% Feb 2022 14,719.57 JP Morgan (Germany)

5,200,000 USD Financial indices* Index performance*

0.12% Jan 2022 (81,690.43) JP Morgan (Germany)

Total (66,970.86)

As at December 31, 2021, the cash collateral received or paid for the purpose of total return swaps is EUR 1,470,000.00. * The basket of financial indices consists of the following: MSCI EUROPE Momentum Net EUR Index MSCI Europe Net Total Return EUR Index MSCI Europe Minimum Volatility Net Total return Index MSCI EUROPE Quality Net Return EUR Index



269

Note 17 - Reverse repurchase agreements As at December 31, 2021, SANTANDER GO DYNAMIC BOND entered into reverse repurchase contracts, the amount of which being disclosed below in the Sub-Fund currency, by which they lend a certain amount to financial institutions, guaranteed by collateral. On December 31, 2021, loans granted in accordance with these agreements were guaranteed by the following underlying assets:

Ccy Nominal Amount

Description Counterparty Amount in USD (cost)

Amount in USD (Market value of

collateral)

USD 21,100,400.00 UNITED STATES OF AMERICA BOND FIXED 2.625% 30/06/2023

BNP Paribas SA (FR) 21,100,000.00 21,978,937.50

USD 20,452,400.00 UNITED STATES OF AMERICA BOND FIXED 0.250% 31/08/2025

BOFA Securities, Inc.(USA) 20,900,000.00 21,542,919.00

Total 42,000,000.00 43,521,856.50

The currency of the collateral is in USD and the issuer is US Government Bond. Note 18 - Cross Sub-Funds investments At December 31, 2021, the total cross Sub-Funds investment amounted to EUR 4,305,925.62 and therefore the total combined Net Assets at year-end without cross Sub-Funds investment would amount to EUR 7,030,664,805.52. Note 19 - Subsequent events Effective January 22, 2022, J.P. Morgan Bank Luxembourg S.A. merged into J.P. Morgan AG which on the same date changed its name to J.P. Morgan SE. As from the merger date, J.P. Morgan SE, as legal successor of J.P. Morgan Bank Luxembourg S.A. continues to act as Depositary and Administrator and Listing agent through its Luxembourg Branch.


270

Appendix: Unaudited Additional Disclosures Appendix: Unaudited Additional Disclosures (continued)

Appendix 1 - Global risk management In terms of risk management, the Board of Directors of the SICAV selected the commitment approach in order to determine the global risk for all the Sub-Funds of the SICAV in exception of the following new Sub-Funds: In terms of risk management, the Board of Directors of the SICAV selected the VAR approach in order to determine the global risk the following Sub-Funds: - SANTANDER SELECT INCOME - SANTANDER GO ABSOLUTE RETURN - SANTANDER GO DYNAMIC BOND The Management Company of the Fund after a risk profile assessment, decides between the commitment approach and the VaR (99%, 1 Month) to determine the global market risk exposure. The VaR limit use (minimum, maximum and average) is calculated by dividing the Daily VaR by the daily VaR limit (20% for absolute return VaR Sub-Fund). The global market risk exposure information for the Sub-Funds using VaR for the year ending December 31, 2021 is as follows:

Sub-Fund Global Risk calculation

Method

VaR model Reference Portfolio

VaR limit Lowest

ultilisation of VaR limit

Highest utilisation of

VaR limit

Average utilisation of

VaR limit

Average level of leverage

reached during the year


VaR Absolute

Historical VaR

No Benchmark

20% 8.48% 65.35% 21.85% 507.52%


RETURN

VaR Absolute

Historical VaR

No Benchmark

20% 4.28% 19.84% 9.57% 127.85%


VaR Absolute

Historical VaR

No Benchmark

20% 5.67% 71.56% 16.61% 30.59%

Appendix 2 - Remuneration of the members of the Management Company of the SICAV The Management Company of the SICAV has adopted a Remuneration Policy, which is in accordance with the principles established by the law of May 10, 2016, amending the law of December 17, 2010 (“the UCITS Law”). The remuneration policy is aligned with Santander Asset Management Group’s remuneration policy, based on the principles of competitiveness and fairness. The Management Company of the SICAV has established remuneration policies for those categories of staff, including senior management, risk takers, control functions, and any employees within the Management Company of the SICAV receiving total remuneration that takes them into the same remuneration bracket as senior management and risk takers and whose professional activities have a material impact on the risk profiles of the Management Company of the SICAV, that:


Appendix: Unaudited Additional Disclosures (continued)

271

- are compliant with and promote a sound and effective risk management and do not encourage risktaking which is inconsistent with the risk profiles of the SICAV or with its Articles of Incorporation; - are in line with the business strategy, objectives values and interests of the Management Company of the SICAV and which do not interfere with the obligation of the Management Company of the SICAV to act in the best interests of the SICAV and of its investors; - include an assessment process based on the longer-term performance of the SICAV; and - appropriately balance fixed and variable components of total remuneration. The Board, in its supervisory function, is required to approve the remuneration policy and to oversee its implementation. The Board has the primary responsibility for ensuring that the ultimate goal of having sound and prudent remuneration policy and structures is not improperly circumvented. The Conducting Officers are in charge of making sure that the remuneration policy is implemented. They elaborate procedures to this effect and submit them to the Board. By virtue of the principle of proportionality, the Management Company has not yet a remuneration committee. The Management Company offers to its employees a remuneration package that includes: (i) a fixed salary, (ii) a variable pay and (iii) benefits. The fixed salary represents the main component of the total remuneration and the payment of a variable pay is not mandatory. All employees are eligible to receive a variable pay. The Management Company only pays variable remuneration in the form of bonuses payable up-front directly in full after their allocation. By virtue of the principle of proportionality the Management Company does not pay variable remuneration in shares or in other type of financial instruments issued by the UCITS. The Management Company offers fixed salaries whose amount is based on criteria such as the level of education, the degree of seniority, the level of expertise and skills required the constraints and job experience, the relevant business sector and region. In the calculation of the variable pay, the Management Company uses an award process taking into account risk measurement while assessing performance. An annual appraisal process is used to evaluate and measure each employee’s performance against defined objectives. The performance of an employee is measured through qualitative and quantitative criteria based on various factors (i.e. business and financial results, client service, technical skills, etc.). The Management Company takes into account the individual performance of the employee and of his/her business unit as well as of the UCITS managed and of the overall of the result of the Company. The benefits that employees of the Management Company may receive are excluded from the remuneration policy and thus not subject to binding calculation process. To that extent, benefits are given to employees on a non-discretionary basis and are identical for all employees. Total number of employees as of December 31, 2021 was seven full time employees (7). The Director position of the Management Company of the SICAV is not remunerated from the accounts of the Management Company of the SICAV. The Management Company contemplates to appoint independent director(s) in accordance with the UCITS Directive, who will only receive a fixed remuneration. The total amount of such remuneration paid in respect of the financial year ending December 31, 2021 by the Management Company to its staff (7 beneficiaries as at December 31, 2021) and in relation to the activity taken for this Fund is EUR 474,000, which is comprised of a fixed remuneration of EUR 400,000 and a variable remuneration of EUR 74,000.



272

The fixed remuneration of the independent director(s) of the financial year ending December 31, 2021 is EUR 35,000. The risk management function has assessed how the variable remuneration structure affects the risk profile of the Management Company. The compliance function analysed how the remuneration structure affects the Management Company’s compliance with legislation, regulations and internal policies. The Management Company of the SICAV is not aware of any deficiency in the remuneration policy. Moreover, the remuneration policy has not been updated in the course of the financial year ended December 31, 2021. Details of the remuneration policy of the Management Company of the SICAV, including, but not limited to, a description of how remuneration and benefits are calculated and the identity of persons responsible for awarding the remuneration and benefits are available at http://www.santanderassetmanagement.lu. A paper copy will be made available free of charge upon request.



273

Securities Financing Transactions Regulation (“SFTR”) As at December 31, 2021, the SICAV is in the scope of the requirements of the Regulation (EU) 2015/2365 on transparency of Securities Financing Transactions and of Reuse (“SFTR”). Only transactions on reverse repurchase agreements was subject to this Regulation as at December 31, 2021. SANTANDER GO DYNAMIC BOND USD

Amount of reverse repurchase agreements expressed in absolute amount 42,000,000.00

Proportion of AUM 16.71%

Maturity tenor of the reverse repurchase agreements broken down in the following maturity buckets (in absolute amount) Less than one day - One day to one week 42,000,000.00 One week to one month - One month to three months - Three months to one year - Above one year - Open maturity - Total 42,000,000.00 Counterparty Name of counterparty See note 17 Country of domicile of the counterparty See note 17 Gross volume of outstanding transactions 42,000,000.00 Data of collateral Type of collateral: Cash - Securities 43,521,856.50 Quality of collateral: Rating AA+ & AAA Maturity tenor of the collateral broken down in the following maturity buckets Less than one day - One day to one week - One week to one month - One month to three months - Three months to one year - Above one year 43,521,856.50 Open maturity - Total 43,521,856.50 Safekeeping of collateral received by the fund as part of reverse repurchase agreements

Name of custodian J.P. MORGAN BANK LUXEMBOURG S.A.

Cash - Securities 43,521,856.50

All transactions are bilateral transactions. The collateral on reverse repurchase agreements is not reused. All returns from SFT derivatives transactions will accrue to the fund and are not subject to any returns sharing agreements with the company’s manager or any other third parties. For reverse repurchase agreements no transactions costs are incurred by the fund. Indirect costs relate to settlement, safekeeping and administrative fees charged by our depositary. Returns are identified as “other income “ during the reporting period within the statement of operations.



274

SANTANDER SELECT INCOME EUR

Amount of Total Return Swaps expressed in absolute amount 155,300,000.00


Maturity tenor of the Total Return Swaps broken down in the following maturity buckets (in absolute amount) Less than one day - One day to one week - One week to one month 155,300,000.00 One month to three months - Three months to one year - Above one year - Open maturity - Total 155,300,000.00 Counterparty Name of counterparty See note 16 Country of domicile of the counterparty See note 16 Gross volume of outstanding transactions 1,164,752.58 Data of collateral Type of collateral: Cash 2,901.17 Securities 5,004,126.68 Quality of collateral: Rating AA and AAA Maturity tenor of the collateral broken down in the following maturity buckets Less than one day 2,901.17 One day to one week - One week to one month - One month to three months - Three months to one year - Above one year 5,004,126.68 Open maturity - Total 5,004,126.68 Safekeeping of collateral received by the fund as part of Total Return Swaps

Name of custodian J.P. MORGAN BANK LUXEMBOURG S.A

Cash 2,901.17 Securities 5,004,126.68

All transactions are bilateral transactions. All returns from SFT derivatives transactions will accrue to the fund and are not subject to any returns sharing agreements with the company’s manager or any other third parties.



275

SANTANDER GO ABSOLUTE RETURN EUR

Amount of Total Return Swaps expressed in absolute amount 14,200,000.00


Maturity tenor of the Total Return Swaps broken down in the following maturity buckets (in absolute amount) Less than one day - One day to one week - One week to one month - One month to three months 14,200,000.00 Three months to one year - Above one year - Open maturity - Total 14,200,000.00 Counterparty Name of counterparty See note 16 Country of domicile of the counterparty See note 16 Gross volume of outstanding transactions 14,200,000.00 Data of collateral Type of collateral: Cash 1,470,000.00 Securities - Quality of collateral: Rating - Maturity tenor of the collateral broken down in the following maturity buckets Less than one day 1,470,000.00 One day to one week - One week to one month - One month to three months - Three months to one year - Above one year - Open maturity - Total 1,470,000.00 Safekeeping of collateral received by the fund as part of Total Return Swaps

Name of custodian J.P. MORGAN BANK LUXEMBOURG S.A

Cash 1,470,000.00 Securities -

All transactions are bilateral transactions. All returns from SFT derivatives transactions will accrue to the fund and are not subject to any returns sharing agreements with the company’s manager or any other third parties. For total returns swaps transactions costs are not separately identifiable. For these investments, transactions costs are included in the purchase and sale price and are part of the gross investment performance of each fund. Indirect costs relate to settlement, safekeeping and administrative fees charged by our depositary. Returns are identified as net realized gain/loss and change in net unrealized gain/loss on swap contracts during the reporting period within the statement of operations.



276

Sustainable Finance Disclosure Regulation (“SFDR”) The investments underlying this financial product do not take into account the EU criteria for environmentally sustainable economic activities except for the folowing Sub-Funds: SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND and SANTANDER GO GLOBAL EQUITY ESG During the reference period, Santander Asset Management Luxembourg S.A. “SAM” has taken investment decisions for the management of those Funds to promote environmental or social characteristics, integrating sustainability risks into the investment process and monitoring the set of indicators related to the assets in which it invests. In particular, those Funds invest in assets which, in addition to good governance practices, are performing well in measuring environmental and social aspects. The criteria that have been used and monitored through pre and post-trade controls to ensure the promotion of the environmental or social characteristics of the Funds are: - Compliance with the percentage of assets in the portfolio aligned with the social and environmental characteristics of the product:

- Percentage of aligned assets as of 31st December are: 92.65% for the Sub-Fund SANTANDER LATIN AMERICAN INVESTMENT GRADE ESG BOND and 97.60% for the Sub-Fund SANTANDER GO GLOBAL EQUITY ESG. - Compliance with the Sustainable and Responsible Investment Strategies applied to the product:

- The Funds have met the exclusive criteria:

- Exclusion from the investment universe activities considered as not aligned with the social and environmental characteristics of the product.

- Exclusion from the investment universe Assets in which breaches of internationally recognized standards or regulations have been identified that have resulted in critical disputes.

- The Funds have met the valuation criteria:

- The ESG criteria have been integrated together with the financial criteria in investment analysis and decision-making. In addition, the portfolio's ASG quality exceeds that of its benchmark.

- Finally, engagement activities have been carried out in line with the social and environmental characteristics of the Funds and with SAM’s engagement policy. - SAM has an ESG methodology based on the analysis of quantitative and qualitative indicators obtained from different data providers, and which allow a positive and/or negative assessment of how the objectives defined in the Fund's investment policy are met. - The indicators have been monitored throughout the year, and have remained within the established limits, as mentioned in the previous section.

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